Christian Lundström: Department of Economics, Umeå School of Business and Economics, Postal: Umeå University, S 901 87 Umeå, Sweden
Abstract: By using money management, an investor may determine the optimal leverage factor to apply on each trade, for maximizing the profitability of investing. Research suggests that the stopping of losses may increase the profitability of a trading strategy when returns follow momentum. This paper contributes to the literature by proposing the first money management criterion that incorporates optimal stopping of losses. In an empirical trading study, we are able to substantially improve the profitability when using this criterion, relative to the existing criteria. We conclude that money management should incorporate stopping of losses when returns follow momentum.
21 pages, May 6, 2014
Full text files
Questions (including download problems) about the papers in this series should be directed to David Skog ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2018-01-23 23:38:48.