Pages that link to "Item:Q4819444"
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The following pages link to On the maximum drawdown of a Brownian motion (Q4819444):
Displaying 36 items.
- Sharper asset ranking from total drawdown durations (Q103808) (← links)
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454) (← links)
- On the drawdown of completely asymmetric Lévy processes (Q454869) (← links)
- On the drawdowns and drawups in diffusion-type models with running maxima and minima (Q890509) (← links)
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies (Q973024) (← links)
- Renewal theorems and stability for the reflected process (Q1016615) (← links)
- Drawdown: from practice to theory and back again (Q1679554) (← links)
- Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022) (← links)
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (Q1703026) (← links)
- Drawdowns and the speed of market crash (Q1930625) (← links)
- Localization for a random walk in slowly decreasing random potential (Q1942297) (← links)
- Dynamic behaviors and measurements of financial market crash rate (Q2161805) (← links)
- On the maximum increase and decrease of one-dimensional diffusions (Q2196380) (← links)
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation (Q2221479) (← links)
- Analysis of a drawdown-based regime-switching Lévy insurance model (Q2260949) (← links)
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups (Q2270885) (← links)
- Drawdown and drawup for fractional Brownian motion with trend (Q2312786) (← links)
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk (Q2389601) (← links)
- Distribution of maximum loss of fractional Brownian motion with drift (Q2439647) (← links)
- The maximal drawdown of the Brownian meander (Q2517267) (← links)
- An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices (Q2853373) (← links)
- MAXIMUM DRAWDOWN INSURANCE (Q3225024) (← links)
- Drawdowns preceding rallies in the Brownian motion model (Q3437396) (← links)
- PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q3564997) (← links)
- Portfolio sensitivity to changes in the maximum and the maximum drawdown (Q3577150) (← links)
- On Truncated Variation of Brownian Motion with Drift (Q3603770) (← links)
- A pairs trading strategy based on linear state space models and the Kalman filter (Q4554227) (← links)
- Drawdown analysis for the renewal insurance risk process (Q4575464) (← links)
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes (Q4684875) (← links)
- Time since maximum of Brownian motion and asymmetric Lévy processes (Q4686779) (← links)
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← links)
- Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions (Q5246178) (← links)
- On the Frequency of Drawdowns for Brownian Motion Processes (Q5252245) (← links)
- Byzantine Fault Tolerant Distributed Quickest Change Detection (Q5252501) (← links)
- A general method for analysis and valuation of drawdown risk (Q6111436) (← links)
- Speed and duration of drawdown under general Markov models (Q6576880) (← links)