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Embedded draw-down constraint using ensemble learning for stock trading

Wu, ME; Lin, SH; Wang, JC

Wu, ME (corresponding author), Natl Taipei Univ Technol, Dept Informat & Finance Management, 1,Sect 3,Zhongxiao E Rd, Taipei 106, Taiwan.

JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2020; 38 (5): 5651

Abstract

The objective in using the Kelly criterion for money management is to maximize returns; however, in many cases, the risk level exceeds that which the ......

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