dorsal/arxiv
View SchemaInvestment horizons : A time-dependent measure of asset performance
| Authors | Ingve Simonsen, Anders Johansen, Mogens H. Jensen |
|---|---|
| Categories | |
| ArXiv ID | physics/0504150 |
| URL | https://arxiv.org/abs/physics/0504150 |
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.
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"abstract": "We review a resent {\\em time-dependent} performance measure for economical\ntime series -- the (optimal) investment horizon approach. For stock indices,\nthe approach shows a pronounced gain-loss asymmetry that is {\\em not} observed\nfor the individual stocks that comprise the index. This difference may hint\ntowards an synchronize of the draw downs of the stocks.",
"arxiv_id": "physics/0504150",
"authors": [
"Ingve Simonsen",
"Anders Johansen",
"Mogens H. Jensen"
],
"categories": [
"physics.soc-ph",
"q-fin.TR"
],
"title": "Investment horizons : A time-dependent measure of asset performance",
"url": "https://arxiv.org/abs/physics/0504150"
},
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