Investment horizons : A time-dependent measure of asset performance

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dc.creatorSimonsen, Ingve
dc.creatorJohansen, Anders
dc.creatorJensen, Mogens H.
dc.date2005-04-21
dc.date.accessioned2026-07-07T12:07:32Z
dc.date.available2026-07-07T12:07:32Z
dc.descriptionWe review a resent {\em 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 {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.
dc.description6 pages Latex, 3 figures; To appear in "Practical Fruits of Econophysics" ed H. Takayasu (Springer Verlag, 2005)
dc.identifierhttps://arxiv.org/abs/physics/0504150
dc.identifierhttp://arxiv.org/abs/physics/0504150
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209003
dc.subjectPhysics and Society
dc.subjectTrading and Market Microstructure
dc.titleInvestment horizons : A time-dependent measure of asset performance
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