A01=Graham L Giller
Author_Graham L Giller
Betting Strategy
Category=KFFM
Decision Theory
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eq_business-finance-law
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Finance
Investment Management
Investment Theory
Kelly Criterion
Modern Portfolio Theory
Optimal Trading
Optimization
Performance Measurement
Portfolio Strategy
Risk Management
Sharpe Ratio
Stock Market
Stock Trading
Tail Risk
Trading Strategy
Trading Theory
Product details
- ISBN 9789811273810
- Publication Date: 04 Sep 2023
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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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.
