Sharper asset ranking from total drawdown durations (Q103808)
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scientific article; zbMATH DE number 6856759
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Sharper asset ranking from total drawdown durations |
scientific article; zbMATH DE number 6856759 |
Statements
6 May 2015
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6 April 2018
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q-fin.ST
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physics.soc-ph
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stat.ME
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Sharper asset ranking from total drawdown durations (English)
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asset ranking
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Sharpe ratio
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drawdowns
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unbiased estimator
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heavy tails
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0.8592654
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0.8201132
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0.81997824
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0.8198954
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0.8190166
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0.8152355
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0.8041301
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0.8028202
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