Baghdadabad, Mohammad Reza Tavakoli; Nor, Fauzias Mat; … - In: Journal of Business Economics and Management 14 (2013) sup1, pp. 447-447
<title>Abstract</title>We develop an alternative approach based on mean-drawdown risk behavior versus the mean-variance behavior. We develop two risk measures as the maximum draw down risk and average drawdown risk to estimate two new betas and then propose two <italic>CAPM</italic>-like models. The data includes a...