Investment horizons : A time-dependent measure of asset performance

Preprint OPEN
Ingve Simonsen; Anders Johansen; Mogens H. Jensen;
(2005)
  • Subject: Physics - Physics and Society | Quantitative Finance - Trading and Market Microstructure

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... View more
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