The Sharpe Ratio, Range and Maximal Drawdown of a Brownian Motion
نویسندگان
چکیده
منابع مشابه
Outperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process
This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...
متن کاملInvestigation of Brownian Motion of CuO-Water Nanofluid in a Porous Cavity with Internal Heat Generation by Using of LTNE Model
In this paper, the effect of the Brownian term in natural convection of CuO-Water nanofluid inside a partially filled porous cavity, with internal heat generation has been studied. It is assumed that the viscosity and thermal conductivity of nanofluid consists of a static part and a Brownian part of which is a function of temperature and the volume fraction of nanofluid. Because of internal hea...
متن کاملThe maximal drawdown of the Brownian meander
Motivated by evaluating the limiting distribution of randomly biased random walks on trees, we compute the exact value of a negative moment of the maximal drawdown of the standard Brownian meander.
متن کاملDrawdowns Preceding Rallies in the Brownian Motion Model
We study drawdowns and rallies of Brownian motion. A rally is defined as the difference of the present value of the Brownian motion and its historical minimum, while the drawdown is defined as the difference of the historical maximum and its present value. This paper determines the probability that a drawdown of a units precedes a rally of b units. We apply this result to examine stock market c...
متن کاملEffects of Brownian motion and Thermophoresis on MHD Mixed Convection Stagnation-point Flow of a Nanofluid Toward a Stretching Vertical Sheet in Porous Medium
This article deals with the study of the two-dimensional mixed convection magnetohydrodynamic (MHD) boundary layer of stagnation-point flow over a stretching vertical plate in porous medium filled with a nanofluid. The model used for the nanofluid incorporates the effects of Brownian motion and thermophoresis in the presence of thermal radiation. The skin-friction coefficient, Nusselt number an...
متن کامل