Essays on Trading Strategy

Graham Giller

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Stock Market; Stock Trading; Decision Theory; Optimal Trading; Trading Strategy; Finance; Optimization; Portfolio Strategy; Modern Portfolio Theory; Kelly Criterion; Betting Strategy; Risk Management; Tail Risk; Investment Management; Performance Measurement; Sharpe Ratio; Trading Theory; Investment Theory (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
Date: 2023
ISBN: 9789811273810
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Chapters in this book:

Ch 1 Mean–Variance Optimization and the Sharpe Ratio , pp 1-25

Graham Giller

Ch 2 Analytical Framework , pp 27-49

Graham Giller

Ch 3 Utility Theory-Based Portfolio Choice , pp 51-71

Graham Giller

Ch 4 Thinking about How to Solve Trading Problems , pp 73-94

Graham Giller

Ch 5 Barrier Trading Algorithms , pp 95-127

Graham Giller

Ch 6 Ex Post Analysis , pp 129-164

Graham Giller

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