Risk management of drawdowns and portfolio optimization with drawdown constraints is becoming increasingly important among practitioners. In this paper, we introduce new types of contracts which depend on the maximum drawdown or on the average drawdown. Trading drawdown contracts would address directly the concerns of portfolio managers who would like to manage them. The maximum or the average ...

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...

[1] Year-to-year variations in summer drawdown of Northern Hemisphere atmospheric carbon dioxide (CO2) are compared with corresponding year-to-year variations in sealevel pressure (SLP), surface air temperature, and the productivity of land vegetation as inferred from the satellite-derived normalized difference vegetation index (NDVI). Annual values of CO2 drawdown for the years 1980–2000 are e...

The Florida (USA) Everglades ecosystem has been impacted due to increased loading of nutrients, in particular phosphorus (P), primarily from adjacent agricultural areas. Consequently, restoration measures involve the establishment of stormwater treatment areas (STAs) comprising a series of constructed wetlands. A series of mesocosms were established at the inflow of the Everglades Nutrient Remo...

Water tables are dropping by approximately one meter annually throughout the North China Plain mainly due to water withdrawals for irrigating winter wheat year after year. In order to examine whether the drawdown can be reduced we calculate the net water use for an 11 year field experiment from 2003 to 2013 where six irrigated crops (winter wheat, summer maize, cotton, peanuts, sweet potato, ry...

We propose a new one-parameter family of risk functions defined on portfolio return sample -paths, which is called conditional drawdown-at-risk (CDaR). These risk functions depend on the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α , the CDaR is defined as the mean of the worst % 100 ) 1 ( ∗ − α drawdowns. The CDaR ...

abstractthe understanding of water resources for the purpose of ground and surface water management as two inseparable systems is great importance. in this study by examining the time series of climatic variables (precipitation), hydrological (flow and consume) and the level of water table, the parameters associated with each other and with fluctuating water table can be realized. there was a d...