Preventing Portfolio Losses by Hedging Maximum Drawdown
نویسنده
چکیده
In this article, we study the concept of maximum drawdown and its relevance to the prevention of portfolio losses. Maximum drawdown is defined as the largest market drop during a given time interval. We show that maximum drawdown can serve as an additional tool for portfolio managers on top of already existing contracts, such as put or lookback options.
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تاریخ انتشار 2007