Drawdowns and the Speed of Market Crash
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-011-9262-7.pdf
Reference34 articles.
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5. Cvitanic J, Karatzas I (1995) On portfolio optimization under drawdown constraints. IMA Lecture Notes in Mathematical Applications, vol 65, pp 77–78
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