Sharper asset ranking from total drawdown durations
Author:
Affiliation:
1. Laboratoire MICS, CentraleSupélec, Université Paris-Saclay, Châtenay-Malabry, France
2. Encelade Capital SA, Lausanne, Switzerland.
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/1350486X.2017.1297728
Reference37 articles.
1. On the fluctuations of sums of random variables
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5. Rank Correlation - an Alternative Measure
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