A probabilistic risk-to-reward measure for evaluating the performance of financial securities

Phil Maguire, Philippe Moser, J. McDonnell, R. Kelly, Simon Fuller, Rebecca Maguire. A probabilistic risk-to-reward measure for evaluating the performance of financial securities. In Proceedings of the 2013 IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2013, IEEE Symposium Series on Computational Intelligence (SSCI), 16-19 April 2013, Singapore. pages 102-109, IEEE, 2013. [doi]

Abstract

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