Essays On Trading Strategy

by Graham L. Giller

This book focuses on practical trading strategies and combines them with a solid theoretical foundation for solving trading strategy problems. It provides real-world solutions suitable for traders with different risk profiles and objectives in markets with significant tail risk. The Markowitz approach's tendency toward excessive risk-taking and trader underperformance is discussed, highlighting the deficiencies of the Sharpe Ratio. The book also covers Utility Theory, critiques the Sharpe Ratio as a statistic, and introduces an optimal decision theory with detailed examples for both "normal" and leptokurtotic distributions.