Effective return, risk aversion and drawdowns
type: Item
instance of: scholarly article
title: Effective return, risk aversion and drawdowns
zbMATH Open document ID: 0971.91510
DOI: 10.1016/S0378-4371(00)00462-3
published in: Physica A
publication date: 2000-12-05T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 1540983
zbMATH Keywords: risk-dajusted performance measures
zbMATH Keywords: real-time trading models
zbMATH Keywords: investment strategies
Wikidata QID: Q105592797
author: Michel M. Dacorogna
author: Ramazan Gençay
author: Ulrich A. Müller
author: Olivier V. Pictet
MaRDI profile type: Publication
cites work: Q4001511
cites work: Prospect theory and asset prices
cites work: Q3950274
cites work: Myopic Loss Aversion and the Equity Premium Puzzle
cites work: Generalized autoregressive conditional heteroscedasticity
full work available at URL: s0378-4371(00)00462-3
OpenAlex ID: W3122438502
description: scientific article; zbMATH DE number 1540983