Drawdowns preceding rallies in the Brownian motion model
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Publication:3437396
DOI10.1080/14697680600764227zbMath1134.91420OpenAlexW1973164504MaRDI QIDQ3437396
Olympia Hadjiliadis, Jan Večeř
Publication date: 9 May 2007
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600764227
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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Cites Work
- A stopped Brownian motion formula
- Formulas for stopped diffusion processes with stopping times based on the maximum
- A note on Ritov's Bayes approach to the minimax property of the cusum procedure
- Optimality of the CUSUM procedure in continuous time.
- Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- On the maximum drawdown of a Brownian motion
- CONTINUOUS INSPECTION SCHEMES
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