Quote:
Originally Posted by Scrappy Jack
It's been years since I even thought about a vector in terms of mathematics and even then, it would have been a cursory understanding. I have a firm grasp on the majority of the document but where I get fuzzy is on page 8. I think I have a reasonable understanding, but I want to be more clear.

Quote:
Originally Posted by Scrappy Jack
I am looking for someone to help explain that section and to:  give me an idea on what realworld output might look during the various transitions of the stoploss and stopgain (aka limit order)
 clarify what the subportfolios would look like. For example, are there multiple positions in the stock fund that represent multiple subportfolios? Or are there only two subportfolios (stock and bond)?
 clarify the level of the stop orders

Quote:
Originally Posted by Fukalyal
Look at the returns and standard deviations of the various investments on page 8. The stop loss strategy has the highest returns and the lowest standard deviation or volatility.

Hi. Thanks for your attempt at a condescending, smarmy reply. I was about to write a scathing response about how you completely ignored my initial request. I was about to quote some specific elements from page 8 (like "Each subportfolio
k K, has a unique stoploss and stopgain level represented by a twodimensional vector, δk = (αk , βk)." [Note the variable
k in the previous formula should be subscript.]
Imagine my surprise when I realized the author had updated the paper on the 7th of July (my copy was dated 20130702) and that page 8 now includes the basic output. I am clear on the generic outcome of the paper and understand the information presented on the current page 8. My question has to do more with the specific details of the outputs on the current pages 46.
I'll have to read through the current version as I already see some changes from the version I was working through.
Quote:
Real world output would depend on real world input. build yourself some models in Excel with Max/Min settings, run some values through it and watch the output vs an unrestrained model on the same input values.

I'll try this but I'm not sure I have a strong feel for the specific Excel function to be used. As I understand it, there are 4 stops and 4 limits used, with the fixed spread between them being 0.5.
The paper reads, "The length
N vector of possible investment assets,
S, must also be specified." That is saying that N = the number of asset classes (in this case stocks and bonds, N=2)? And S is the designation for each one, differentiated via a subscript?
Given an I of 4 and J of 4, the result is 16 different subportfolios. I'm having a little bit of a hard time visualizing that but maybe some time in Excel will help solidify my understanding.