PT  - JOURNAL ARTICLE
AU  - Julien Chevallier
AU  - Wei Ding
AU  - Florian Ielpo
TI  - Implementing a Simple Rule for Dynamic<br/>Stop-Loss Strategies
AID  - 10.3905/joi.2012.21.4.111
DP  - 2012 Nov 30
TA  - The Journal of Investing
PG  - 111--114
VI  - 21
IP  - 4
4099  - https://pm-research.com/content/21/4/111.short
4100  - https://pm-research.com/content/21/4/111.full
AB  - This article proposes a simple rule to implement dynamic stop-loss strategies in the case of a long-only S&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