论文信息 - Implementing a Simple Rule for DynamicStop-Loss Strategies

Implementing a Simple Rule for DynamicStop-Loss Strategies

This article proposes a simple rule to implement dynamic stop-loss strategies in the case of a long-only S&P 500 portfolio, that is a problem market participants such as pension funds have to ponder when investing in US equity. It is based on a Monte Carlo analysis, as advised in Phoa [1999].

[1] A. Y. Lei,et al. The Value of Stop Loss Strategies , 2009 .

[2] A. Lo,et al. When Do Stop-Loss Rules Stop Losses? , 2014 .

[3] W. Phoa. Conditional Monte Carlo Simulation , 1999 .

[4] Phil Dybvig,et al. Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market , 1988 .

[5] P. Carr,et al. Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions , 2011, Journal of Financial and Quantitative Analysis.

[6] Yacine Ait-Sahalia,et al. Modeling Financial Contagion Using Mutually Exciting Jump Processes , 2010 .

[7] Hayne E. Leland,et al. On dynamic investment strategies , 2000 .