A new one-parameter family of risk measures, which is called Conditional Drawdown-at-Risk (CDaR), is proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in an active portfolio management. For some value of the tolerance parameter beta, the...

A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter Alpha, in the case of a single...

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...

A framework is set up in which linear regression, as a way of approximating a random variable by other random variables, can be carried out in a variety of ways, which moreover can be tuned to the needs of a particular model in finance, or operations research more broadly. Although the idea of...

A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α, in the case of a single...