Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan - In: European Journal of Operational Research 234 (2014) 2, pp. 508-517
The notion of drawdown is central to active portfolio management. Conditional Drawdown-at-Risk (CDaR) is defined as the … capital asset pricing model (CAPM) stated in both single and multiple sample-path settings. The drawdown beta in the CAPM has …. Drawdown alpha is introduced similarly to the alpha in the classical CAPM and is evaluated for the same hedge fund indices …