Drawdown: from practice to theory and back again
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11579-016-0181-9.pdf
Reference45 articles.
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3. Anderson, R.M., Bianchi, S.W., Goldberg, L.R.: Will my risk parity strategy outperform? Financ. Anal. J. 68(6), 75–93 (2012)
4. Anderson, R,M., Bianchi, S.W., Goldberg, L.R.: Determinants of levered portfolio performance. Forthcom. Financ. Anal. J. (2014)
5. Bertsimas, D., Lauprete, G.J., Samarov, A.: Shortfall as a risk measure: properties, optimization and applications. J. Econ. Dyn. Control 28, 1353–1381 (2004)
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