Stop-Loss

chocolatemoney · March 2nd, 2009, 9:24 pm

Hello,Let's say daily returns are distributed with some pdf f(x).What is the pdf of the daily returns with a stop-loss at some loss L?Thanks

manikm · March 3rd, 2009, 7:57 am

Lets first convert L in to an annualised returncalculate CPDF for f till LLets call this as N(L)then if new pdf is called gthen for x<L .... g =0for x = L .... g = N(L)for x>L .... g = fNot sure abt the answer just 1st guess.