Portfolio sensitivity to changes in the maximum and the maximum drawdown

By L. Pospisil, Jan Vecer. 2010

53 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/37340c09bf2ab1817aad6f26340073a9c383f76c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Hongzhong Zhang
2. Bin Li
3. Olympia Hadjiliadis
4. David Landriault

In Management Science and Operations Research

1. Bin Li
2. Hongzhong Zhang
3. Olympia Hadjiliadis
4. David Landriault

Citations in the corpus

• On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models (2015, background): “Pospisil and Večeř [31] invented a new class of Greeks to examine the sensitivity of investment portfolios to drawdowns.”
• ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “To our knowledge, the earliest use of the Laplace transform on the maximum drawdown of a Brownian motion appeared in Taylor (1975), and it was shortly afterwards generalized to time-homogenous diffusion processes by Lehoczky (1977).”
• Drawdowns and the Speed of Market Crash (2012, background): “The pricing and dynamic hedging of insurance claims based are developed in Pospisil and Vecer (2010).”