Sharper asset ranking from total drawdown durations

DOI10.48550/arXiv.1505.01333zbMath1398.62286arXiv1505.01333OpenAlexW2527480683MaRDI QIDQ103808

Damien Challet, Damien Challet

Publication date: 6 May 2015

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.01333

zbMATH Keywords

heavy tailsSharpe ratiounbiased estimatorasset rankingdrawdowns

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15) Statistics of extreme values; tail inference (62G32)

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