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Theory
Portfolio selection
61
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61
Drawdown
37
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36
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35
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34
drawdown
32
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22
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maximum drawdown
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risk management
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Maximum drawdown
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downside risk
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Avram, Florin
3
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3
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3
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2
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2
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2
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ECONIS (ZBW)
36
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1
A general method for analysis and valuation of
drawdown
risk
Zhang, Gongqiu
;
Li, Lingfei
- In:
Journal of economic dynamics & control
152
(
2023
),
pp. 1-37
Persistent link: https://www.econbiz.de/10014427618
Saved in:
2
Drawdown
beta and portfolio optimization
Ding, Rui
;
Uryasev, Stan
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1265-1276
Persistent link: https://www.econbiz.de/10013367906
Saved in:
3
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
4
A review on
drawdown
risk measures and their implications for risk management
Geboers, Hans
;
Depaire, Benoît
;
Annaert, Jan
- In:
Journal of economic surveys
37
(
2023
)
3
,
pp. 865-889
Persistent link: https://www.econbiz.de/10014337978
Saved in:
5
Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation
Peng, Cheng
;
Kim, Young Shin
;
Mittnik, Stefan
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
5
,
pp. 1-23
Hidden Markov Model. (ii) We use tail risk measures, namely conditional value-at-risk (CVaR) and conditional
drawdown
…
Persistent link: https://www.econbiz.de/10013273511
Saved in:
6
Optimal management of irrigation water from Aquifer and surface sources
Quintana-Ashwell, Nicolas E.
;
Gholson, Drew M.
- In:
Journal of agricultural and applied economics : JAEE
54
(
2022
)
3
,
pp. 496-514
Persistent link: https://www.econbiz.de/10013429117
Saved in:
7
A refined measure of conditional maximum
drawdown
Rossello, Damiano
;
LoCascio, Silvestro
- In:
Risk management : an international journal
23
(
2021
)
4
,
pp. 301-321
Persistent link: https://www.econbiz.de/10012792822
Saved in:
8
Drawdown
risk measures for asset portfolios with high frequency data
Masala, Giovanni
;
Petroni, Filippo
- In:
Annals of finance
19
(
2023
)
2
,
pp. 265-289
Persistent link: https://www.econbiz.de/10014326787
Saved in:
9
Consumption-investment decisions with endogenous reference point and
drawdown
constraint
Liang, Zongxia
;
Luo, Xiaodong
;
Yuan, Fengyi
- In:
Mathematics and financial economics
17
(
2023
)
2
,
pp. 285-334
Persistent link: https://www.econbiz.de/10014328923
Saved in:
10
Design of comprehensive income products for retirement using utility functions
Warren, Geoff
- In:
Australian journal of management
47
(
2022
)
1
,
pp. 105-134
Persistent link: https://www.econbiz.de/10012801598
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