Analysis of stop-loss and take-profit policies through first-hitting-time method: the case of VG process and Taiwanese stocks
| Autor: | Kenli Lin, 林耿立 |
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| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 This paper purposely studies the performance of systematic trading. The research uses the performance of the buy-and-hold strategy as the benchmark, and analyzes the performances of the stop-loss policy, the take-profit policy, and the combined policy through first-hitting time method in three different investment terms: a season, six months and a year. The paper includes the theoretical analysis that simulates stock returns based on VG process, and the empirical analysis produced by historical returns of Taiwan stocks; furthermore, it provides the study of utilities of the three policies under CRRA preferences and prospect theory. The result shows that the stop-loss policy generally creates better performance as well as the combined policy does. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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