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

MaRDI QIDQ3372283zbMATH OpenFDO

Authors

Publication date 20 February 2006

zbMATH Keywords

stochastic programmingmanagementlinear portfolio rebalancing strategies

Mathematics Subject Classification ID

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

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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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