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Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time (Q3631187)

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Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time
scientific article

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    title
    Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time (English)
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    author
    Dennis G. Yang
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    Minjie Yu
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    Qiang Zhang
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    publication date
    5 June 2009
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    zbMATH DE Number
    5562306
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    zbMATH Keywords
    risk measure
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    portfolio
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    below-mean SV
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    VaR
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    CVaR
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    average drawdown
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    maximum drawdown
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    OpenAlex ID
    W1525737674
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