Risk averse fractional trading using the current drawdown
نویسندگان
چکیده
منابع مشابه
Maximum Drawdown and Directional Trading
Abstract In this paper, we introduce new techniques how to control the maximum drawdown (MDD). One can view the maximum drawdown as a contingent claim, and price and hedge it accordingly as a derivative contract. Trading drawdown contracts or replicating them by hedging would directly address the concerns of portfolio managers who would like to insure the market drops. Similar contracts can be ...
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ژورنال
عنوان ژورنال: Journal of Risk
سال: 2018
ISSN: 1465-1211
DOI: 10.21314/jor.2018.388