منابع مشابه
On a Convex Measure of Drawdown Risk
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of probabilistic risk metrics. We formalize drawdown risk as Conditional Expected Drawdown (CED), which is the tail mean of maximum drawdown distributions. We show that CED is a degree one positive hom...
متن کاملDrawdown Measure in Portfolio Optimization
A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α, in the case of a single sample path, drawdown functional is defined as the mean of the worst (1 − α) ∗ 100% drawdowns. The CDD m...
متن کاملThe Minimal Risk of Hedging with a Convex Risk Measure∗
We study on the minimal hedging risk for a bounded European contingent claim when we use a convex risk measure. We find the infimum of hedging risk by using a kind of min-max theorem, Also we show that this infimum is again regarded as a convex risk measure.
متن کاملCapital 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)...
متن کاملA Survey on Stability Measure of Networks
In this paper we discuss about tenacity and its properties in stability calculation. We indicate relationships between tenacity and connectivity, tenacity and binding number, tenacity and toughness. We also give good lower and upper bounds for tenacity.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2430918