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Applied Mathematical Finance Volume 24, 2017 - Issue 1
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Original Articles

Sharper asset ranking from total drawdown durations

Damien ChalletLaboratoire MICS, CentraleSupélec, Université Paris-Saclay, Châtenay-Malabry, France;Encelade Capital SA, Lausanne, Switzerland.Correspondence[email protected]
Pages 1-22 | Received 09 Nov 2015, Accepted 06 Feb 2017, Published online: 06 Jun 2017

Citations (11)

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Christian Bongiorno & Damien Challet. (2022) Reactive global minimum variance portfolios with k-BAHC covariance cleaning. The European Journal of Finance 28:13-15, pages 1344-1360.
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Articles from other publishers (10)

Hans Geboers, Benoît Depaire & Jan Annaert. (2022) A review on drawdown risk measures and their implications for risk management. Journal of Economic Surveys 37:3, pages 865-889.
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Eric Benhamou. (2023) Can Deep Reinforcement Learning Solve the Portfolio Allocation Problem? (PhD Manuscript). SSRN Electronic Journal.
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Satya N Majumdar, Philippe Mounaix, Sanjib Sabhapandit & Grégory Schehr. (2021) Record statistics for random walks and Lévy flights with resetting. Journal of Physics A: Mathematical and Theoretical 55:3, pages 034002.
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Vincenzo Maria Schimmenti, Satya N. Majumdar & Alberto Rosso. (2021) Statistical properties of avalanches via the -record process . Physical Review E 104:6.
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Satya N Majumdar, Philippe Mounaix & Grégory Schehr. (2021) Universal record statistics for random walks and Lévy flights with a nonzero staying probability. Journal of Physics A: Mathematical and Theoretical 54:31, pages 315002.
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Francesco Mori, Satya N. Majumdar & Grégory Schehr. (2020) Distribution of the time between maximum and minimum of random walks. Physical Review E 101:5.
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Francesco Mori, Satya N. Majumdar & Grégory Schehr. (2019) Time Between the Maximum and the Minimum of a Stochastic Process. Physical Review Letters 123:20.
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R J Martin & M J Kearney. (2018) Time since maximum of Brownian motion and asymmetric Lévy processes. Journal of Physics A: Mathematical and Theoretical 51:27, pages 275001.
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Eric Benhamou & Beatrice Guez. (2018) Incremental Sharpe and Other Performance Ratios. SSRN Electronic Journal.
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Steven Pav. (2017) A Short Sharpe Course. SSRN Electronic Journal.
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