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20142021
most citedA Multiple Prior Monte Carlo Method for the Backward Heat Diffusion Problem

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q-fin.RM2016

Determining Optimal Stop-Loss Thresholds via Bayesian Analysis of Drawdown Distributions

Antoine Emil Zambelli

Stop-loss rules are often studied in the financial literature, but the stop-loss levels are seldom constructed systematically. In many papers, and indeed in practice as well, the l…