• Published 2007

Preventing Portfolio Losses by Hedging Maximum Drawdown

@inproceedings{Vecer2007PreventingPL,
  title={Preventing Portfolio Losses by Hedging Maximum Drawdown},
  author={Jan Vecer},
  year={2007}
}
In this article, we study the concept of maximum drawdown and its relevance to the prevention of portfolio losses. Maximum drawdown is defined as the largest market drop during a given time interval. We show that maximum drawdown can serve as an additional tool for portfolio managers on top of already existing contracts, such as put or lookback options. 

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