latestOpenAPI 3.0.1Apache 2.02026-08-2224401.4 MB

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Assets / Bootstrap Returns Simulation4

Assets / Clustering / Correlation-Based3

Assets / Correlation Matrix14

Assets / Correlation Matrix Estimation13

Assets / Correlation Matrix Forecast4

Assets / Covariance Matrix5

Assets / Covariance Matrix Estimation7

Assets / Covariance Matrix Forecast4

Assets / Expected Returns Estimation3

Assets / Indicators20

Assets / Monte Carlo Returns Simulation10

Assets / Prices2

Assets / Returns3

Assets / Returns / Moments5

Assets / Returns Fitting9

Assets / Returns Transformation4

Assets / Volatility Estimation10

Assets / Volatility Forecast5

Capital Market Assumptions3

Factors1

Factors / Risk Models3

Market Indicators6

Portfolio Analysis6

Portfolio Analysis / Contributions7

Portfolio Analysis / Drawdowns9

Portfolio Analysis / Mean-Variance8

Portfolio Analysis / Return3

Portfolio Analysis / Returns2

Portfolio Analysis / Returns / Moments3

Portfolio Analysis / Returns / Partial Moments3

Portfolio Analysis / Risk Measures3

Portfolio Analysis / Risk Measures / Conditional Value At Risk Estimation6

Portfolio Analysis / Risk Measures / Conditional Value At Risk Forecast2

Portfolio Analysis / Risk Measures / Value At Risk Estimation10

Portfolio Analysis / Risk Measures / Value At Risk Forecast2

Portfolio Construction1

Portfolio Optimization15

Portfolio Optimization / Mean-Variance16

Portfolio Optimization / Ulcer Index2

Portfolio Post-Optimization1

Portfolio Replication2

Portfolio Simulation3

Portfolio Transformation2

Portfolio Analysis / Drawdowns

Maximum Drawdown

Compute the magnitude of the maximum drawdown 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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Maximum Drawdown

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