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Results tagged with drawdown
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user 37
The cumulative decline in price or value after a series of consecutive decreases or from a relative peak to a relative trough. The duration for a drawdown can be as noteworthy as its magnitude.
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How to estimate the probability of drawdown / ruin?
I highly recommend the Maximum Entropy Bootstrap for time series, implemented by the meboot package in R. In my work, I've stopped using both the block bootstrap and residuals bootstrap in favor of me …
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