EconPapers    
Economics at your fingertips  
 

Probability distribution of drawdowns in risky investments

Sergei Maslov and Yi-Cheng Zhang

Papers from arXiv.org

Abstract: We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a general power law. In particular, if the risk exposure is Kelly-optimal, the exponent of this power law has the borderline value of 2, i.e. the average drawdown is just about to diverge

Date: 1998-08
References: Add references at CitEc
Citations:

Published in Physica A 262, 232-241 (1999).

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/9808295 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/9808295

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2025-03-19
Handle: RePEc:arx:papers:cond-mat/9808295