Sharper asset ranking from total drawdown durations
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: Applied Mathematical Finance
سال: 2017
ISSN: 1350-486X,1466-4313
DOI: 10.1080/1350486x.2017.1297728