Drawdown

Drawdown Determined Position Size

November 19, 2012 | klr

This caught my eye as I searched for some more academic research on my favorite risk measure drawdown. Yang, Z. George and Zhong, Liang,Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February ...
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Statistics of Drawdown–paper and post

June 11, 2012 | klr

Thank so much to Patrick Burns’ post Variability in maximum drawdown.  He starts with “Maximum drawdown is blazingly variable,” which I say is why money management is so blazingly difficult.  After spending a lot of time thinking about ...
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Conditional Drawdown Exploration

May 31, 2012 | klr

After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimiz...
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Drawdown Look at Frontier of Assets and Systems

April 23, 2012 | klr

In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.&n...
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Estimating Probability of Drawdown

June 19, 2010 | Joshua Ulrich

I've shown several examples of how to use LSPM's probDrawdown function as a constraint when optimizing a leverage space portfolio.  Those posts implicitly assume the probDrawdown function produces an accurate estimate of actual drawdo... [Read more...]

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