Capital asset pricing model (CAPM) with drawdown measure (Q2514723): Difference between revisions

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+https://doi.org/10.1016/j.ejor.2013.03.024
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+Q3155250
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+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
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+Q4868512
@@ Property / cites work: Q4868512 / rank @@
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+Optimal lifetime consumption and investment under a drawdown constraint
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+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
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@@ Property / cites work @@
+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
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+Generalized deviations in risk analysis
@@ Property / cites work: Generalized deviations in risk analysis / rank @@
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+Optimality conditions in portfolio analysis with general deviation measures
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@@ Property / cites work @@
+A note on long-term optimal portfolios under drawdown constraints
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+Publication:2514723