Details

Autor(en) / Beteiligte

• Malekpour, Shirzad
• Barmish, B. Ross

Titel

The Conservative Expected Value: A New Measure with Motivation from Stock Trading via Feedback

Ist Teil von

• IFAC Proceedings Volumes, 2014, Vol.47 (3), p.8719-8724

Erscheinungsjahr

2014

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• The probability distribution for profits and losses associated with a feedback-based stock-trading strategy can be highly skewed. Accordingly, when this random variable has a large expected value, it may be a rather unreliable indicator of performance. That is, a large profit may be exceedingly improbable even though its expected value is high. In addition, the lack of confidence in the underlying stock price model contributes to lack of reliability in the expected value for profits and losses. Motivated by these issues, in this paper, we propose a new measure, called the Conservative Expected Value (CEV), which discounts the “ordinary” expected value. Once the CEV is defined, it is calculated for some classical probability distributions and a few of its important properties are established.