Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds (Q3372283)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds |
scientific article; zbMATH DE number 5007569
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds |
scientific article; zbMATH DE number 5007569 |
Statements
20 February 2006
0 references
management
0 references
stochastic programming
0 references
linear portfolio rebalancing strategies
0 references
0.7900049686431885
0 references
0.7732232213020325
0 references
0.7691348195075989
0 references
0.7592276930809021
0 references
