Capital asset pricing model (CAPM) with drawdown measure

DOI10.1016/j.ejor.2013.03.024zbMath1304.91212OpenAlexW2122128549MaRDI QIDQ2514723

Michael Zabarankin, Stan Uryasev, Konstantin Pavlikov

Publication date: 3 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.03.024

zbMATH Keywords

portfolio theorycapital asset pricing model (CAPM)drawdownasset betaconditional drawdown-at-risk (CDaR)

Mathematics Subject Classification ID

Related Items (15)

Equilibrium in an ambiguity-averse mean-variance investors market ⋮ Good deals and benchmarks in robust portfolio selection ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ Dynamic behaviors and measurements of financial market crash rate ⋮ Drawdown beta and portfolio optimization ⋮ Drawdown: from practice to theory and back again ⋮ f-Betas and portfolio optimization with f-divergence induced risk measures ⋮ Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ COMPARING THE SMALL-SAMPLE ESTIMATION ERROR OF CONCEPTUALLY DIFFERENT RISK MEASURES ⋮ Synergy effect of cooperative investment ⋮ Direct data-based decision making under uncertainty ⋮ A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering

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• An Intertemporal Capital Asset Pricing Model
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