A general method for analysis and valuation of drawdown risk
Year of publication: |
2023
|
---|---|
Authors: | Zhang, Gongqiu ; Li, Lingfei |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 152.2023, p. 1-37
|
Subject: | Drawdown | Drawdown derivatives | Portfolio drawdown | Markov chain approximation | Risikomanagement | Risk management | Theorie | Theory | Portfolio-Management | Portfolio selection | Derivat | Derivative | Markov-Kette | Markov chain |
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