Zakhar G. Maymin
Constructing the Best Trading Strategy: A New General Framework.
Thu, 08/04/2011 - 15:01 — SomNambulAuthors: Philip Z. Maymin, Zakhar G. Maymin
Subjects: Trading and Market Microstructure
AbstractWe introduce a new general framework for constructing the best trading
strategy for a given historical indicator. We construct the unique trading
strategy with the highest expected return. This optimal strategy may be
implemented directly, or its expected return may be used as a benchmark to
evaluate how far away from the optimal other proposed strategies for the given
indicators are. Separately, we also construct the unique trading strategy with
the highest information ratio.Any Regulation of Risk Increases Risk.
Tue, 04/13/2010 - 15:03 — SomNambulAuthors: Philip Z. Maymin, Zakhar G. Maymin
Subjects: Risk Management
AbstractWe show that any objective risk measurement algorithm mandated by central
banks for regulated financial entities will result in more risk being taken on
by those financial entities than would otherwise be the case. Furthermore, the
risks taken on by the regulated financial entities are far more systemically
concentrated than they would have been otherwise, making the entire financial
system more fragile.
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