474
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

A new financial risk ratioFootnote

Pages 2682-2692 | Received 17 Oct 2013, Accepted 22 Apr 2014, Published online: 16 May 2014

References

  • Gustafson K. Antieigenvalue analysis. Singapore: World Scientific; 2012.
  • Aldridge I. High frequency trading. Hoboken, NJ: John Wiley & Sons; 2010.
  • Sharpe W. Capitol asset prices: a theory of market equilibrium under conditions of risk. J Financ. 1964;19:425–442.
  • Markowitz H. Portfolio selection: efficient diversification of investments. New York: John Wiley & Sons; 1959.
  • Gustafson K. Experiences and insights in mathematical finance. J Shanghai Financ Univ. 2010;(4):35–41.
  • Gustafson K. The crossing of heaven: memoirs of a mathematician. Heidelberg: Springer; 2012.
  • Gustafson K. Operator trigonometry of multivariate finance. J Multivariate Anal. 2010;101:374–384. doi: 10.1016/j.jmva.2009.01.014
  • Bachelier L. Théorie de la spéculation. Paris: Gauthier-Villars; 1900.
  • Fox J. The myth of the rational market: a history of risk, reward, and delusion on wall street. New York: Harper Collins; 2009.
  • Poundstone W. Fortune's formula. New York: Hill and Wang; 2005.
  • Cowles III A. Can stock market forecasters forecast? Econometrica. 1933;1:309–324. doi: 10.2307/1907042
  • Samuelson P. Proof that properly anticipated prices fluctuate randomly. Ind Manage Rev. 1965;6:41–49.
  • Gustafson K. Partial differential equations. 3rd ed. Revised. Mineola, NY: Dover Publications; 1999.
  • MacKenzie D, Millo Y. Constructing a market, performing theory: the historical sociology of a financial derivatives exchange. Am J Sociol. 2003;109:107–145. doi: 10.1086/374404
  • Taleb N. The black swan. New York: Random House; 2007.
  • Gustafson K, Antoniou I. Financial time operator and the complexity of time. Mind Matter. 2013;11:83–100.
  • Fisher I. Mathematical investigations in the theory of value and price. New Haven, CT: Yale University Press; 1925.
  • Williams JB. The theory of investment value. Cambridge: Harvard University Press; 1938.
  • Working H. The investigation of economic expectations. Am Econ Rev. 1949;39:150–166.
  • Bernoulli D. Exposition of a new theory on the measurement of risk [Papers of the Imperial Academy of Sciences in Petersburg, Vol. V, 1738, pp. 175–192]. Econometrica. 1954;22:23–36. doi: 10.2307/1909829
  • Kelly Jr JL. A new interpretation of information rate. Bell Syst Tech J. 1956;35:917–926. doi: 10.1002/j.1538-7305.1956.tb03809.x
  • Luenberger D. Investment science. Oxford: Oxford University Press; 1998.
  • Sharpe WF, Alexander GJ, Bailey JV. Investments. 6th ed. Upper Saddle River, NJ: Prentice Hall; 1999.
  • Treynor J. How to rate management of investment funds. Harvard Bus Rev. 1965;43(1):63–75.
  • Sortino F, Van der Meer R. Downside risk. J Portfolio Manage. 1991;17(Spring):27–31. doi: 10.3905/jpm.1991.409343
  • Modigliani F, Modigliani L. Risk adjusted performance. J Portfolio Manage. 1997;23:45–54. doi: 10.3905/jpm.23.2.45
  • Eling M, Schuhmacher F. Does the choice of performance measure influence the evaluation of hedge funds. J Bank Financ. 2007;31:2632–2647. doi: 10.1016/j.jbankfin.2006.09.015
  • Yang D, Zhang Q. Drift independent volatility estimation based on high, low, open and close prices. J Bus. 2000;73:477–491. doi: 10.1086/209650
  • Williams JB. Speculation and the carryover. Quart J Econ. 1936;50(3):436–455. doi: 10.2307/1882611
  • Grauer R. A comparison of growth optimal and mean variance investment policies. J Financ Quant Anal. 1981;16(1):1–21. doi: 10.2307/2330663
  • Hunt BF. Feasible high growth investment strategy: growth optimal portfolios applied to Dow Jones stocks. J Asset Manage. 2005;6(2):141–157. doi: 10.1057/palgrave.jam.2240172
  • Estrada J. Geometric mean maximization: an overlooked portfolio approach. J Invest. 2010;19(4):134–147. doi: 10.3905/joi.2010.19.4.134
  • Andersen T, Bollerslev T, Meddahi N. Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Econometrica. 2005;73:279–296. doi: 10.1111/j.1468-0262.2005.00572.x
  • Andersen T, Bollerslev T, Diebold F, Labys P. Modeling and forecasting realized volatility. Econometrica. 2003;71:579–625. doi: 10.1111/1468-0262.00418
  • Andersen T, Bollerslev T, Diebold F, Ebens H. The distribution of stock return volatility. NBER working paper no. 7933, The Wharton School; October 2000.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.