Risk averse fractional trading using the current drawdown

Stanislaus Maier-Paape

Journal of Risk

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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