Peak-to-valley drawdowns : insights into extreme path-dependent market risk
Hans Geboers, Benoit Depaire and Stefan Straetmans
| Year of publication: |
2023
|
|---|---|
| Authors: | Geboers, Hans ; Depaire, Benoit ; Straetmans, Stefan |
| Published in: |
Journal of risk : JOR. - London : Infopro Digital Risk, ISSN 1755-2842, ZDB-ID 2091446-5. - Vol. 26.2023, 2, p. 65-104
|
| Subject: | drawdown | extreme risk | asset allocation | risk management | drawdown distribution | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Risiko | Risk | Ausreißer | Outliers |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2023.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014487302