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Assets / Correlation Matrix14

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Assets / Covariance Matrix Estimation7

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Assets / Returns / Moments5

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Capital Market Assumptions3

Factors1

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Portfolio Analysis / Drawdowns

Average Drawdown

Compute the average magnitude of all the drawdowns of a portfolio.

References

Alexei Chekhlov & Stanislav Uryasev & Michael Zabarankin, 2005. Drawdown Measure In Portfolio Optimization, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(01), pages 13-58

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Average Drawdown

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