Baghdadabad, Mohammad Reza Tavakoli - In: Review of Pacific Basin Financial Markets and Policies … 18 (2015) 01, pp. 1550003-1
risk measure of n-degree maximum drawdown, which is a special case of n-degree LPM, to investigate the reduction impacts of … n-degree maximum drawdown risk on risk tolerances generated by management styles from US equity-based mutual funds. We … found that skewness does not impose any significant problems on the model of n-degree maximum drawdown. Thus, the tolerance …