JavaScript is disabled for your browser. Some features of this site may not work without it.
UWSpace will be migrating to a new version of its software from July 29th to August 1st. UWSpace will be offline for all UW community members during this time.
Browsing Computer Science by Author "Fagnan, David Erik"
Fagnan, David Erik(University of Waterloo, 2011-08-26)
Recently, the maximum drawdown (MD) has been proposed as an alternative
risk measure ideal for capturing downside risk. Furthermore, the maximum
drawdown is associated with a Pain ratio and therefore may be a ...