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Money management with optimal stopping of losses for maximizing the returns of futures trading
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
2014 (English)Report (Other academic)
Abstract [en]

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.

Place, publisher, year, edition, pages
Umeå: Umeå universitet , 2014. , 20 p.
Series
Umeå economic studies, ISSN 0348-1018 ; 884
Keyword [en]
money management, futures trading, stopping of losses
National Category
Economics
Research subject
Economics
Identifiers
URN: urn:nbn:se:umu:diva-88354OAI: oai:DiVA.org:umu-88354DiVA: diva2:715246
Available from: 2014-05-02 Created: 2014-05-02 Last updated: 2017-01-18Bibliographically approved

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fulltext(451 kB)290 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf