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Stochastic Drawdowns

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  • Hongzhong Zhang

    (Columbia University, USA)

Abstract

Stochastic Drawdowns

Individual chapters are listed in the "Chapters" tab

Suggested Citation

  • Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, January.
    • Handle: RePEc:wsi:wsbook:10078
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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/10078
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    References listed on IDEAS

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    32. Tim Leung & Hongzhong Zhang, 2017. "Optimal Trading with a Trailing Stop," Papers 1701.03960, arXiv.org, revised Mar 2019.
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    Cited by:

    1. Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1422-1460, October.

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    Book Chapters

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    Keywords

    Drawdown; Maximum Drawdown; Insurance; Optimal Trading;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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