[R-SIG-Finance] semi variance

Krishna Kumar kriskumar at earthlink.net
Fri Dec 29 13:16:34 CET 2006

Jeffrey Todd Lins wrote:
> Just on a related tangent, here is an interesting paper, "On the Maximum
> Drawdown of a Brownian Motion",
> http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf .
> There was also an interesting article by the same authors in Risk,
> w.r.t. intertemporal scaling and use in optimization:
>  http://alumnus.caltech.edu/~amir/mdd-risk.pdf
> Jeffrey Lins 
By the way the package fOptions has a set of utils to do cdf, density, 
rng etc from the drawdown distribution with no drift.
And the original Amir Atiya paper actually seems to give a series 
solution for the drawdown distribution for the
general case of a GBM with drift.

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