RT Journal Article
SR Electronic
T1 Implementing a Simple Rule for Dynamic<br/>Stop-Loss Strategies
JF The Journal of Investing
FD Institutional Investor Journals
SP 111
OP 114
DO 10.3905/joi.2012.21.4.111
VO 21
IS 4
A1 Julien Chevallier
A1 Wei Ding
A1 Florian Ielpo
YR 2012
UL https://pm-research.com/content/21/4/111.abstract
AB This article proposes a simple rule to implement dynamic stop-loss strategies in the case of a long-only S&amp;P 500 portfolio, that is a problem market participants such as pension funds have to ponder when investing in US equity. It is based on a Monte Carlo analysis, as advised in Phoa [1999].TOPICS: Equity portfolio management, pension funds, simulations