Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds

zbMATH Open1105.90323MaRDI QIDQ3372283FDOQ3372283

Authors:

Publication date: 20 February 2006

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zbMATH Keywords

stochastic programmingmanagementlinear portfolio rebalancing strategies

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Stochastic programming (90C15)

Cited In (8)

• An exact algorithm for the maximum probabilistic clique problem
• The minimum spanning \(k\)-core problem with bounded CVaR under probabilistic edge failures
• Modeling risk in arbitrage strategies using finite mixtures§
• Multi-objective portfolio optimization considering the dependence structure of asset returns
• Efficient Stochastic Programming in Julia
• Drawdown: from practice to theory and back again
• Lower partial moments and maximum drawdown measures in hedge fund risk-return profile analysis
• Hedging conditional value at risk with options

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