This is a summary of links featured on Quantocracy on Friday, 11/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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What s The Best Methodology For Measuring Drawdown Risk? [Capital Spectator]The possibilities for quantifying risk in portfolio analytics seems to be limited only by the imagination of researchers. Indeed, you can find dictionaries that wade through an ever-lengthening list of indicators. But any short list of robust metrics surely deserves to include drawdown, which offers a powerful combination of relevance and simplicity. A new research paper reminds, however, that