MEAN-DRAWDOWN RISK BEHAVIOR: DRAWDOWN RISK AND CAPITAL ASSET PRICING
نویسندگان
چکیده
منابع مشابه
Capital Asset Pricing Model (CAPM) with drawdown measure
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 conditions for a portfolio optimization problem with CDaR yield the capital asset pricing model (CAPM)...
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ژورنال
عنوان ژورنال: Journal of Business Economics and Management
سال: 2013
ISSN: 1611-1699,2029-4433
DOI: 10.3846/16111699.2012.720593