Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time (Q3631187)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time |
scientific article |
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Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time (English)
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5 June 2009
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risk measure
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portfolio
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below-mean SV
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VaR
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CVaR
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average drawdown
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maximum drawdown
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