DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (Q4675830)
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scientific article; zbMATH DE number 2165941
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION |
scientific article; zbMATH DE number 2165941 |
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DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (English)
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6 May 2005
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equity drawdown
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drawdown measure
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conditional value-at-risk
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portfolio optimization
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stochastic optimization
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