Investment horizons: A time-dependent measure of asset performance

Ingve Simonsen, Anders Johansen and Mogens H. Jensen
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Ingve Simonsen: NTNU
Mogens H. Jensen: Niels Bohr Institute

A chapter in Practical Fruits of Econophysics, 2006, pp 246-251 from Springer

Abstract: Summary We review a resent time-dependent performance measure for economical time series — the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is not observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.

Keywords: Stock Index; Return Level; Geometrical Brownian Motion; Individual Stock; Investment Horizon (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_45

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DOI: 10.1007/4-431-28915-1_45

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