Stocks & Commodities V. 44:09 (8–17): Dynamical Evaluation Of Drawdown Risk by Gaetano Di Prima and Fabio Baruffa, PhD
Product Description
Dynamical Evaluation Of Drawdown Risk by Gaetano Di Prima and Fabio Baruffa, PhD
Traditional drawdown measures have important limitations. Presented here is a framework that provides a more complete view of downside risk and may enable investors to better assess potential capital losses. It can also improve decision-making around position sizing, holding period selection, leverage control, and risk budgeting. Coding is provided to facilitate implementation and testing.
Risk in financial markets is often summarized using aggregate statistics such as volatility, maximum drawdown, or the Sharpe ratio ...
Traditional drawdown measures have important limitations. Presented here is a framework that provides a more complete view of downside risk and may enable investors to better assess potential capital losses. It can also improve decision-making around position sizing, holding period selection, leverage control, and risk budgeting. Coding is provided to facilitate implementation and testing.
Risk in financial markets is often summarized using aggregate statistics such as volatility, maximum drawdown, or the Sharpe ratio ...
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