Capital asset pricing model (CAPM) with drawdown measure
Year of publication: |
2014
|
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Authors: | Zabarankin, Michael ; Pavlikov, Konstantin ; Uryasev, Stan |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 2 (1.4.), p. 491-498
|
Subject: | Capital asset pricing model (CAPM) | Drawdown | Conditional drawdown-at-risk (CDaR) | Asset beta | Portfolio theory | Portfolio-Management | Portfolio selection | CAPM | Theorie | Theory | Betafaktor | Beta risk | Schätzung | Estimation |
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