412 THE HANDBOOK OF PORTFOLIO MATHEMATICS
FIGURE 12.3 RR(.6) for real-world example atf=.45
To confirm the reader’s burgeoning uneasiness at this point, consider
the following:
In the long-run sense, the probability of hitting a drawdown (ofany
given magnitude,b) approaches 1, approachescertaintyas you continue to
trade (i.e., asqincreases).
lim
q→∞
RD(b,q)= 1. 0 (12.12)FIGURE 12.4 Figure 12.3 larger field-of-view