Drawdown beta and portfolio optimization

DOI10.1080/14697688.2022.2037698zbMath1497.91274OpenAlexW4213438406MaRDI QIDQ5092643

Rui Ding, Stan Uryasev

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2037698

zbMATH Keywords

portfolio optimizationCAPMbetadrawdownconditional drawdown-at-riskexpected regret of drawdown

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (3)

f-Betas and portfolio optimization with f-divergence induced risk measures ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model

Cites Work

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• Drawdown: from practice to theory and back again
• Optimality conditions in portfolio analysis with general deviation measures
• Capital asset pricing model (CAPM) with drawdown measure
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

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