Drawdown measure in portfolio optimization
Year of publication: |
2005
|
---|---|
Authors: | Chekhlov, Alexei ; Uryasev, Stan ; Zabarankin, Michael |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 8.2005, 1, p. 13-58
|
Subject: | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Schätzung | Estimation | Derivat | Derivative | Welt | World | Risikomaß | Risk measure |
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