The total duration of drawdowns is shown to be an efficient and robust estimator of Sharpe ratios. Its properties are distribution-dependent: the expected total drawdown duration is smaller for heavy-tailed returns than for Gaussian ones. As a consequence, in leptokurtic market conditions, the...

Despite the availability of very detailed data on financial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempts. This work is a contribution to the...

The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given...