Drawdown and Drawup for Fractional Brownian Motion with Trend
نویسندگان
چکیده
منابع مشابه
The maximum drawdown of the Brownian motion
where X ( t ) represents the equity curve of the trading system or fund. The maximum drawdown MDD is the most widespread risk measure among money managers and hedge funds. It is often preferred over some of the other risk measures because of the tight relationship between large drawdowns and fund redemptions. Also, a large drawdown can even indicate the start of a deterioration of an otherwise ...
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ژورنال
عنوان ژورنال: Journal of Theoretical Probability
سال: 2018
ISSN: 0894-9840,1572-9230
DOI: 10.1007/s10959-018-0836-y