Talk:Drawdown (economics)

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Should unrealized losses be redirected to this? --Liface 23:03, 16 November 2006 (UTC)

Value at Risk section[edit]

I removed this section from article:


López de Prado and Peijan (2008)[1] have shown that Value at Risk substantially underestimates an investment's loss potential when its returns are incorrectly assumed to iid follow a Normal Distribution.


Is this at all relevant?

Please define variables[edit]

Please define variables: X(t), D(T), X(tau) just to make it as clear as possible...

71.139.170.36 (talk) 23:59, 26 March 2014 (UTC)

  1. ^ López de Prado and Peijan (2008): "Measuring the Loss Potential of Hedge Fund Strategies", Journal of Alternative Investments (7)1, 7-31. http://ssrn.com/abstract=641702