Capital asset pricing model (CAPM) with drawdown measure (Q2514723)
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scientific article; zbMATH DE number 6395720
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Capital asset pricing model (CAPM) with drawdown measure |
scientific article; zbMATH DE number 6395720 |
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Capital asset pricing model (CAPM) with drawdown measure (English)
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3 February 2015
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capital asset pricing model (CAPM)
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drawdown
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conditional drawdown-at-risk (CDaR)
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asset beta
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portfolio theory
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0.8512766361236572
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0.8434243202209473
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0.8292669653892517
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0.8013543486595154
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