DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (Q4675830)

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scientific article; zbMATH DE number 2165941
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DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
scientific article; zbMATH DE number 2165941

    Statements

    title
    DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (English)
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    author
    Alexei Chekhlov
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    Stanislav P. Uryasev
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    Michael Zabarankin
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    publication date
    6 May 2005
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    zbMATH Keywords
    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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    Identifiers

    zbMATH DE Number
    2165941
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