4 papers
A General Framework for Portfolio Theory. Part II: drawdown risk measures
Stanislaus Maier-Paape, Qiji Jim Zhu
The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu, pre…
Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative
Andreas Hermes, Stanislaus Maier-Paape
In this paper the multivariate fractional trading ansatz of money management from Ralph Vince (Portfolio Management Formulas: Mathematical Trading Methods for the Futures, Options,…
Survey on log-normally distributed market-technical trend data
René Kempen, Stanislaus Maier-Paape
In this survey, a short introduction in the recent discovery of log-normally distributed market-technical trend data will be given. The results of the statistical evaluation of typ…
Lead-Lag Relationship using a Stop-and-Reverse-MinMax Process
Stanislaus Maier-Paape, Andreas Platen
The intermarket analysis, in particular the lead-lag relationship, plays an important role within financial markets. Therefore a mathematical approach to be able to find interrelat…