21 citations · 30 across the 8 of their papers we have counts for
9 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…
A General Framework for Portfolio Theory. Part I: theory and various models
Stanislaus Maier-Paape, Qiji Jim Zhu
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens,…
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,…
Risk averse fractional trading using the current drawdown
Stanislaus Maier-Paape
In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization pro…
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…
Correctness of Backtest Engines
Robert Löw, Stanislaus Maier-Paape, Andreas Platen
In recent years several trading platforms appeared which provide a backtest engine to calculate historic performance of self designed trading strategies on underlying candle data.…
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…
Backtest of Trading Systems on Candle Charts
Stanislaus Maier-Paape, Andreas Platen
In this paper we try to design the necessary calculation needed for backtesting trading systems when only candle chart data are available. We lay particular emphasis on situations…
Empirical Study of the 1-2-3 Trend Indicator
Yasemin Hafizogullari, Stanislaus Maier-Paape, Andreas Platen
In this paper we study automatically recognized trends and investigate their statistics. To do that we introduce the notion of a wavelength for time series via cross correlation an…