Search Results - subject:"Drawdown"

Start-to-low drawdown as a risk measure and its application to portfolio optimization for levered investors under solvency regimes

Stähli, Philipp; Maringer, Dietmar G. - 2025

Drawdown is an important risk measure in both theory and practice. Most drawdown measures use the running peak as the … reference point from which to calculate the drawdown. Instead, the start-to-low drawdown (SLD), which references the start of … cost of drawdown together: the solvency cost-adjusted return (SCAR) including the cost of drawdown (SCARD). This is applied …

Persistent link: https://www.econbiz.de/10015466080

COVID-19 pandemic impact on microfinance industry

Lee, Suk Hun; Han, Ki C.; Suk, David Y.; Sung, Hyun Mo - In: Future business journal 11 (2025) 1, pp. 1-14

widely used risk-adjusted measures, modified Sharpe ratio, maximum drawdown, and Calmar ratio, to evaluate the performance of …

Persistent link: https://www.econbiz.de/10015614222

Limiting distribution of the maximum drawdown for Brownian motion with positive drift

Bermin, Hans-Peter; Holm, Magnus - 2025

The maximum drawdown of a stochastic process is the largest peak-to-trough decline observed over a given horizon [0, T …]. Using arguments from extreme value theory, we derive the limiting distribution of the maximum drawdown for a Brownian motion … with positive drift as T Ç É. We show that, after suitable centering and scaling, the maximum drawdown converges in …

Persistent link: https://www.econbiz.de/10015619471

Start-to-low drawdown as a risk measure and its application to portfolio optimization for levered investors under solvency regimes

Stähli, Philipp; Maringer, Dietmar G. - 2025

Persistent link: https://www.econbiz.de/10015551771

Limiting distribution of the maximum drawdown for Brownian motion with positive drift

Bermin, Hans-Peter; Holm, Magnus - 2025

The maximum drawdown of a stochastic process is the largest peak-to-trough decline observed over a given horizon [0, T …]. Using arguments from extreme value theory, we derive the limiting distribution of the maximum drawdown for a Brownian motion … with positive drift as T → ∞. We show that, after suitable centering and scaling, the maximum drawdown converges in …

Persistent link: https://www.econbiz.de/10015557774

Adaptive market anomaly detection (AMAD) : enhancing minimum spanning tree stability in financial networks

Pallotta, Alberto; Ciciretti, Vito - In: Finance research letters 85 (2025) 4, pp. 1-9

Persistent link: https://www.econbiz.de/10015579619

Last passage times for generalized drawdown processes with applications

Li, Shu; Wang, Zijia - In: Scandinavian actuarial journal 2025 (2025) 1, pp. 25-50

Persistent link: https://www.econbiz.de/10015534459

Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

González Cázares, Jorge; Mijatović, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732

Persistent link: https://www.econbiz.de/10013440249

A general method for analysis and valuation of drawdown risk

Zhang, Gongqiu; Li, Lingfei - In: Journal of economic dynamics & control 152 (2023), pp. 1-37

Persistent link: https://www.econbiz.de/10014427618

Drawdown-based risk indicators for high-frequency fnancial volumes

D'Amico, Guglielmo; Di Basilio, Bice; Petroni, Filippo - In: Financial innovation : FIN 10 (2024), pp. 1-40

evaluate liquidity risk exposure, we examine the process of volume drawdown and measures of crash-recovery within fuctuating … calculate both real and synthetic drawdown-based risk indicators for comparison purposes. The fndings reveal that our risk …

Persistent link: https://www.econbiz.de/10014535559