Sharper asset ranking from total drawdown durations (Q103808)
From MaRDI portal
scientific article; zbMATH DE number 6856759
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sharper asset ranking from total drawdown durations |
scientific article; zbMATH DE number 6856759 |
Statements
6 May 2015
0 references
6 April 2018
0 references
q-fin.ST
0 references
physics.soc-ph
0 references
stat.ME
0 references
Sharper asset ranking from total drawdown durations (English)
0 references
asset ranking
0 references
Sharpe ratio
0 references
drawdowns
0 references
unbiased estimator
0 references
heavy tails
0 references
0 references
