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 average of a specified percentage of the largest drawdowns over an investment horizon and includes maximum and average drawdowns as particular cases. The necessary optimality...