Drawdown risk measures for asset portfolios with high frequency data
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
https://link.springer.com/content/pdf/10.1007/s10436-022-00421-y.pdf
Reference29 articles.
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4. Casati, A., Tabachnik, S.: The statistics of the maximum drawdown in financial time series, Batten. In: MacKay, J.A., Wagner, P. (eds.) Advances in Financial Risk Management. Palgrave Macmillan, London (2012). https://doi.org/10.1057/978113702509815
5. Charwand, M., Gitizadeh, M., Siano, P.: A new active portfolio risk management for an electricity retailer based on a drawdown risk preference. Energy 118, 387–398 (2017). https://doi.org/10.1016/j.energy.2016.12.058
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1. Drawdown-based risk indicators for high-frequency financial volumes;Financial Innovation;2024-02-22
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