Drawdown measures and return moments (Q4555853)
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scientific article; zbMATH DE number 6983644
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Drawdown measures and return moments |
scientific article; zbMATH DE number 6983644 |
Statements
DRAWDOWN MEASURES AND RETURN MOMENTS (English)
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23 November 2018
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risk measures
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drawdown
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moments
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regret
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exponential Lévy process
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normal inverse Gaussian process
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autocorrelation
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0.8089380264282227
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0.7944431900978088
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0.7819591164588928
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0.772196888923645
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