Drawdown measure in portfolio optimization

International Journal of Theoretical and Applied Finance

Volumn 8, Issue 1, 2005, Pages 13-58

  Chekhlov, Alexei ^a   Uryasev, Stanislav ^b   Zabarankin, Michael ^b  

^a Thor Asset Management Inc   (United States)

^b University of Florida   (United States)

Author keywords

Conditional value at risk; Drawdown measure; Equity drawdown; Portfolio optimization; Stochastic optimization

Indexed keywords

EID: 23244463545     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024905002767     Document Type: Article

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