Drawdown: from practice to theory and back again
نویسندگان
چکیده
منابع مشابه
DRAWDOWN: FROM PRACTICE TO THEORY AND BACK AGAIN forthcoming in MATHEMATICS AND FINANCIAL ECONOMICS
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures of risk. We formalize drawdown risk as Conditional Expected Drawdown (CED), which is the tail mean of maximum drawdown distributions. We show that CED is a degree one positive homogenous ri...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2016
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-016-0181-9