Investment horizons : A time-dependent measure of asset performance
Ingve Simonsen, Anders Johansen, Mogens H. Jensen
Abstract
We review a resent 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 not observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.
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