Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Need to know
- Growth optimal trading adapted with current drawdown risk measure.
- This risk averse strategy reduces the tremendous drawdowns occurring with the classical optimal f ansatz significantly.
Abstract
In this paper, the fractional trading ansatz of money management, also called growth optimal trading, is reconsidered. Special attention is paid to the chance and risk parts of the goal function for the related optimization problem. By changing the goal function with respect to other risk measures such as current drawdowns, the optimal fraction solutions meet the needs of risk averse investors better than the original optimal f solution of Ralph Vince.
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