A New Risk-Reward Model for One-Way Online Trading

作者：Zhang Yong; Zhang Weiguo^*; Xu Weijun; Yang Xingyu

来源：Information-An International Interdisciplinary Journal, 2010, 13(5): 1701-1709.

• forecast
• lower-higher risk-reward model
• competitive ratio

al-Binali put forward risk-reward framework to manage risk for getting more benefit from it when the forecast is true and the loss doesn't exceed the investor's risk tolerance when the forecast is incorrect. Based on this framework, this paper, under the forecast that the maximum exchange rate is lower than m + Delta in certain days before the minimum exchange rate being higher than m + Delta continuously until the last day (we call it lower-higher risk-reward model), provides the competitive analysis of it and compares its competitive ratio with al-Binali's risk-reward model. As lower-higher risk-reward model is more practical and has more factors to consider, we also present the effect of different parameters on competitive ratio. Examples show that this lower-higher risk-reward model can acquire smaller competitive ratio and is popular with risk managers.

• 出版日期2010-9
• 单位华南理工大学