DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (Q4675830): Difference between revisions
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| Property / cites work: Coherent Measures of Risk / rank | |||
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| Property / cites work: OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS / rank | |||
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| Property / cites work: Q4235027 / rank | |||
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| Property / cites work: A Minimax Portfolio Selection Rule with Linear Programming Solution / rank | |||
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| Property / cites work: Q4223182 / rank | |||
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| Property / full work available at URL: https://doi.org/10.1142/s0219024905002767 / rank | |||
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Latest revision as of 09:33, 30 July 2024
scientific article; zbMATH DE number 2165941
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION |
scientific article; zbMATH DE number 2165941 |
Statements
DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (English)
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6 May 2005
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equity drawdown
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drawdown measure
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conditional value-at-risk
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portfolio optimization
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stochastic optimization
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