Average drawdown risk and capital asset pricing
Year of publication: |
2013
|
---|---|
Authors: | Tavakoli Baghdadabad, Mohammad Reza ; Glabadanidis, Paskalis |
Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 16.2013, 4, p. 1-21
|
Subject: | Mean-variance behavior | mean-drawdown behavior | drawdown risk measure | average drawdown risk measure | average drawdown beta | CAPM | average drawdown CAPM | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Messung | Measurement | Risiko | Risk | Risikomaß | Risk measure | Schätzung | Estimation | Betafaktor | Beta risk |
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