英文标题：
《Risk averse fractional trading using the current drawdown》
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作者：
Stanislaus Maier-Paape
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最新提交年份：
2016
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英文摘要：
In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the goal function with due regards to other risk measures like current drawdowns, the optimal fraction solutions reflect the needs of risk averse investors better than the original optimal f solution of Ralph Vince. Keywords: fractional trading, optimal f, current drawdown, terminal wealth relative, risk aversion
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中文摘要：
本文重新考虑了货币管理的分式交易策略，特别关注了相关优化问题目标函数中的机会和风险部分。通过改变目标函数，适当考虑其他风险度量，如当前提款，最优分数解决方案比拉尔夫·文斯的原始最优f解决方案更好地反映了风险厌恶投资者的需求。关键词：分数交易、最优f、当前提款、终端财富相对、风险规避
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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