This note formalizes some analytical results on the n-dimensional multivariate truncated normal distribution where truncation is one-sided and at an arbitrary point. Results on linear transformations, marginal and conditional distributions, and independence are provided. Also, results on...

Hedge funds, defined in this context as geared financial entities, frequently use some measure of point loss as a risk measure. This paper considers the statistical properties of an uninterrupted fall in a security price; called a draw down. The distribution of the draw downs in an N-trading...