Sharper asset ranking from total drawdown durations
Year of publication: |
March-April 2017
|
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Authors: | Challet, Damien |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 1/2, p. 1-22
|
Subject: | Asset ranking | Sharpe ratio | drawdowns | unbiased estimator | heavy tails | Portfolio-Management | Portfolio selection | Ranking-Verfahren | Ranking method | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution |
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