ISBN : 9789811273827
Author : Giller Graham L
Publisher : World Scientific
Year : 2023
Language : English
Type : E-book
Description : This book directly focuses on finding optimal trading strategies in the real world and supports that with a well-defined theoretical foundation that allows trading strategy problems to be solved. Critically, it also delivers a menu of actual solutions that can be applied by traders with various risk profiles and objectives in markets that exhibit substantial tail risk. It shows how the Markowitz approach leads to excessive risk taking, and trader underperformance, in the real world. It summarizes the key features of Utility Theory, the deficiencies of the Sharpe Ratio as a statistic, and develops an optimal decision theory with fully developed examples for both "Normal" and leptokurtotic distributions. Sample Chapter(s) Preface Essay 1: Mean–Variance Optimization and the Sharpe Ratio Contents: Preface About the Author List of Figures List of Tables Introduction Mean–Variance Optimization and the Sharpe Ratio Analytical Framework Utility Theory-Based Portfolio Choice Thinking about How to Solve Trading Problems Barrier Trading Algorithms Ex Post Analysis References Index Readership: For researchers, students and professionals like finance professionals, data scientists, economists, investment managers and fund managers.