Drawdown measures and return moments

DOI10.1142/S0219024918500425MaRDI QIDQ4555853zbMATH OpenOpenAlexWikidataFDO

Authors Philipp M. Möller

Publication date 23 November 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500425

zbMATH Keywords

momentsautocorrelationrisk measuresregretdrawdownnormal inverse Gaussian processexponential Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Drawdown: from practice to theory and back again
• Lower partial moments and maximum drawdown measures in hedge fund risk-return profile analysis
• Dynamic programming and mean‐variance hedging in discrete time
• scientific article; zbMATH DE number 2128220

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 852301 (Why is no real title available?)
• scientific article; zbMATH DE number 852532 (Why is no real title available?)
• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• A jump-diffusion model for option pricing
• A unified approach for drawdown (drawup) of time-homogeneous Markov processes
• Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
• An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
• Analysis of ordinal categorical data.
• Capital asset pricing model (CAPM) with drawdown measure
• Coherent measures of risk
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Drawdown: from practice to theory and back again
• Dynamic trading with reference point adaptation and loss aversion
• Financial Modelling with Jump Processes
• Generalized autoregressive conditional heteroscedasticity
• Generalized deviations in risk analysis
• Global optimization of higher order moments in portfolio selection
• Modeling volatility persistence of speculative returns: a new approach
• Myopic Loss Aversion and the Equity Premium Puzzle
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• On magnitude, asymptotics and duration of drawdowns for Lévy models
• On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
• On the drawdown of completely asymmetric Lévy processes
• On the frequency of drawdowns for Brownian motion processes
• Optimal investment to minimize the probability of drawdown
• Option pricing when underlying stock returns are discontinuous
• Portfolio selection with higher moments
• Pricing insurance drawdown-type contracts with underlying Lévy assets
• Processes of normal inverse Gaussian type
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory and asset prices
• Regret in Decision Making under Uncertainty
• Regret theory: a new foundation
• Suprema of Lévy processes
• THE TREATMENT OF TIES IN RANKING PROBLEMS
• The normal inverse gaussian lévy process: simulation and approximation
• Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model

Cited in

(3)

• Effective return, risk aversion and drawdowns
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Lower partial moments and maximum drawdown measures in hedge fund risk-return profile analysis

This page was built for publication: Drawdown measures and return moments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4555853)