Drawdown beta and portfolio optimization
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 2128220
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- scientific article; zbMATH DE number 852301
- Correction
- Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- A note on long-term optimal portfolios under drawdown constraints
- Portfolio optimization under loss aversion
- Portfolio optimization under lower partial risk measures
Cites work
- scientific article; zbMATH DE number 2128220 (Why is no real title available?)
- Capital asset pricing model (CAPM) with drawdown measure
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Drawdown: from practice to theory and back again
- On relation between expected regret and conditional value-at-risk
- Optimality conditions in portfolio analysis with general deviation measures
Cited in
(11)- Correction
- Optimisation of drawdowns by generalised reinsurance in the classical risk model
- Sequential monitoring of portfolio betas
- scientific article; zbMATH DE number 2128220 (Why is no real title available?)
- f-Betas and portfolio optimization with f-divergence induced risk measures
- First passage times in portfolio optimization: a novel nonparametric approach
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- Sharper asset ranking from total drawdown durations
- Capital asset pricing model (CAPM) with drawdown measure
- Explaining risks: axiomatic risk attributions for financial models
- Aggregation of downside risk and portfolio selection
This page was built for publication: Drawdown beta and portfolio optimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5092643)
