Drawdowns and the speed of market crash (Q1930625): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11009-011-9262-7
+Normal rank
@@ Property / OpenAlex ID @@
+W2151945775
@@ Property / OpenAlex ID: W2151945775 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+MAXIMUM DRAWDOWN INSURANCE
@@ Property / cites work: MAXIMUM DRAWDOWN INSURANCE / rank @@
+Normal rank
@@ Property / cites work @@
+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
@@ Property / cites work: DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION / rank @@
+Normal rank
@@ Property / cites work @@
+On Probability Characteristics of "Downfalls" in a Standard Brownian Motion
+Normal rank
@@ Property / cites work @@
+An extension of P. Lévy's distributional properties to the case of a Brownian motion with drift
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
+Normal rank
@@ Property / cites work @@
+Drawdowns preceding rallies in the Brownian motion model
+Normal rank
@@ Property / cites work @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-martingales et grossissement d'une filtration
+Normal rank
@@ Property / cites work @@
+Q4197827
@@ Property / cites work: Q4197827 / rank @@
+Normal rank
@@ Property / cites work @@
+Grossissements de filtrations: exemples et applications. Séminaire de Calcul Stochastique 1982/83, Université Paris VI
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+On the stochastic behaviour of optional processes up to random times
+Normal rank
@@ Property / cites work @@
+Q5339472
@@ Property / cites work: Q5339472 / rank @@
+Normal rank
@@ Property / cites work @@
+Formulas for stopped diffusion processes with stopping times based on the maximum
+Normal rank
@@ Property / cites work @@
+On the maximum drawdown of a Brownian motion
@@ Property / cites work: On the maximum drawdown of a Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Elementary Solutions for Certain Parabolic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4453259
@@ Property / cites work: Q4453259 / rank @@
+Normal rank
@@ Property / cites work @@
+A class of remarkable submartingales
@@ Property / cites work: A class of remarkable submartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio sensitivity to changes in the maximum and the maximum drawdown
+Normal rank
@@ Property / cites work @@
+Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+On maximum increase and decrease of Brownian motion
+Normal rank
@@ Property / cites work @@
+Q4429832
@@ Property / cites work: Q4429832 / rank @@
+Normal rank
@@ Property / cites work @@
+Range of Brownian motion with drift
@@ Property / cites work: Range of Brownian motion with drift / rank @@
+Normal rank
@@ Property / cites work @@
+A stopped Brownian motion formula
@@ Property / cites work: A stopped Brownian motion formula / rank @@
+Normal rank
@@ Property / cites work @@
+Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1930625