Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance
Year of publication: |
2014
|
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Authors: | Barro, Diana ; Canestrelli, Elio ; Lanza, Fabio |
Institutions: | Dipartimento di Economia, Università Ca' Foscari Venezia |
Subject: | Volatility | tail risk | stochastic programming | risk management |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014:18 2 pages long |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques ; D8 - Information and Uncertainty |
Source: |
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Barro, Diana, (2014)
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Barro, Diana, (2014)
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Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana, (2019)
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Dynamic tracking error with shortfall control using stochastic programming
Barro, Diana, (2012)
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Barro, Diana, (2011)
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