Portfolio sensitivity to changes in the maximum and the maximum drawdown
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References listed on IDEAS
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- Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
- Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions," Papers 1712.04418, arXiv.org, revised Feb 2018.
- Vladimir Cherny & Jan Obłój, 2013. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, vol. 17(4), pages 771-800, October.
- Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Pricing insurance drawdown-type contracts with underlying L\'evy assets," Papers 1701.01891, arXiv.org, revised Oct 2017.
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More about this item
KeywordsAsian options; Derivatives pricing; Derivatives hedging; Derivatives securities;
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