Drawdown beta and portfolio optimization-Reference-Cited by-同舟云学术

Drawdown beta and portfolio optimization

Published:2022-02-24 Issue:7 Volume:22 Page:1265-1276
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Ding Rui¹^ORCID,Uryasev Stan¹^ORCID

Affiliation:

1. Department of Applied Mathematics and Statistics, Stony Brook University, Stony Brook, NY 11794, USA

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2037698

Reference21 articles.

1. MEAN-DRAWDOWN RISK BEHAVIOR: DRAWDOWN RISK AND CAPITAL ASSET PRICING

2. Drawdown Measure in Portfolio Optimization

3. DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

4. CoCDaR and mCoCDaR: New Approach for Measurement of Systemic Risk Contributions

5. Drawdown Beta Website, Quantitative finance program at Stony Brook University, 2021. Available online at: http://qfdb.ams.stonybrook.edu/index_SP.html.

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