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Sharper asset ranking from total drawdown durations - MaRDI portal

Sharper asset ranking from total drawdown durations (Q103808)

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scientific article; zbMATH DE number 6856759
Language Label Description Also known as
English
Sharper asset ranking from total drawdown durations
scientific article; zbMATH DE number 6856759

    Statements

    publication date
    6 May 2015
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    6 April 2018
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    arXiv classification
    q-fin.ST
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    physics.soc-ph
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    stat.ME
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    author
    Damien Challet
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    Damien Challet
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    title
    Sharper asset ranking from total drawdown durations (English)
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    zbMATH Keywords
    asset ranking
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    Sharpe ratio
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    drawdowns
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    unbiased estimator
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    heavy tails
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    Identifiers

    arXiv ID
    1505.01333
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    Mathematics Subject Classification ID
    62P05
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    62E15
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    62G32
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    zbMATH DE Number
    6856759
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    OpenAlex ID
    W2527480683
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