Drawdown beta and portfolio optimization
Rui Ding and Stan Uryasev
| Year of publication: |
2022
|
|---|---|
| Authors: | Ding, Rui ; Uryasev, Stan |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 7, p. 1265-1276
|
| Subject: | Beta | CAPM | Conditional drawdown-at-risk | Drawdown | Expected regret of drawdown | Portfolio optimization | Theorie | Theory | Portfolio-Management | Portfolio selection | Betafaktor | Beta risk |
| Description of contents: | Description [doi.org] |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2037698 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367906