Investment horizons: A time-dependent measure of asset performance

Ingve Simonsen, Anders Johansen and Mogens H. Jensen

Papers from arXiv.org

Abstract: We review a resent {\em 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 {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.

Date: 2005-04
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