Further Reading
- Burghardt, G., Duncan, R. and L. Liu, "Understanding Drawdowns", working paper, Carr Futures (September 4), 2003 (http://www.intelligenthedgefundinvesting.com/pubs/rb-bdl.pdf)
- Eckholdt, H., "Risk Management: Using SAS to Model Portfolio Drawdown, Recovery and Value at Risk" (February), 2004. (http://www.intelligenthedgefundinvesting.com/pubs/rb-he.pdf)
- Grossman, S. J. and Z. Zhou, "Optimal Investment Strategies for Controlling Drawdowns", Mathematical Finance 3, pp. 241-276, 1993.
- Hamelink, F. and M. Hoesli, "The Maximum Drawdown as a Risk Measure: The Role of Real Estate in the Optimal Portfolio Revisited", working paper (June 24), 2003. (http://www.intelligenthedgefundinvesting.com/pubs/rb-fhmh.pdf)
- Hayes, B. T., "Maximum Drawdowns of Hedge Funds with Serial Correlation", Journal of Alternative Investments (vol 8, no 4) (Spring), pp. 26-38, 2006.
- Kim, Daehwan, "Relevance of Maximum Drawdown in the Investment Fund Selection Problem when Utility is Nonadditive", working paper (July), 2010. (http://www.intelligenthedgefundinvesting.com/pubs/dk_rmd.pdf)
- Steiner, Andreas, "Ambiguity in Calculating and Interpreting Maximum Drawdown," working paper (December), 2010. (http://www.intelligenthedgefundinvesting.com/pubs/as_acm.pdf)
- Wilkins, K., C. Morales and L. Roman, "Maximum Drawdown Distributions with Volatility Persistence", working paper, 2005. (http://www.intelligenthedgefundinvesting.com/pubs/rb-kwcmlr.pdf)
- Magdon-Ismail, M. and A. Atiya, "Maximum Drawdown", Risk Magazine (October), 2004. (http://alumnus.caltech.edu/~amir/mdd-risk.pdf)
- Magdon-Ismail, M., A. Atiya, A. Pratap, and Y. Abu-Mostafa, "On the Maximum Drawdown of the Brownian Motion", Journal of Applied Probability (vol 41, no 1), 2004. (http://alumnus.caltech.edu/~amir/drawdown-jrnl.pdf)
Read more about this topic: Drawdown (economics)
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