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

zbMATH Open1105.90323MaRDI QIDQ3372283FDOQ3372283

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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 (6)

• An exact algorithm for the maximum probabilistic clique problem
• Modeling risk in arbitrage strategies using finite mixtures§
• Multi-objective portfolio optimization considering the dependence structure of asset returns
• Efficient Stochastic Programming in Julia
• The Minimum Spanning k-Core Problem with Bounded CVaR Under Probabilistic Edge Failures
• Drawdown: from practice to theory and back again

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