Effective return, risk aversion and drawdowns

Physica A: Statistical Mechanics and its Applications

Volumn 289, Issue 1-2, 2001, Pages 229-248

  Dacorogna, Michel M ^a   Gençay, Ramazan ^b,c   Müller, Ulrich A ^d   Pictet, Olivier V ^e  

^a Zurich Re   (Switzerland)

^b UNIVERSITY OF WINDSOR   (Canada)

^c BILKENT UNIVERSITY   (Turkey)

^d Olsen Ltd   (Switzerland)

^e Dynamic Asset Management   (Switzerland)

Author keywords

[No Author keywords available]

Indexed keywords

FINANCE; INTERNATIONAL TRADE; MATHEMATICAL MODELS;

RISK-ADJUSTED PERFORMANCE MEASURES;

RISK MANAGEMENT;

EID: 0035153333     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(00)00462-3     Document Type: Article

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