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A General Framework for Portfolio Theory : Part II: Drawdown Risk Measures
;
In
Special Issue "Computational Methods for Risk Management in Economics and Finance" / Guest Editor Dr. Marina Resta, University of Genova, Italy
In
Risks 6(3), Seiten/Artikel-Nr.:76
2018
Online
DOI: 10.18154/RWTH-2018-227707
DOI: 10.3390/risks6030076
URL: http://publications.rwth-aachen.de/record/731763/files/731763.pdf
Einrichtungen
Projekte
Inhaltliche Beschreibung (Schlagwörter)
admissible convex risk measures ; current drawdown ; efficient frontier ; portfolio theory ; fractional Kelly allocation ; growth optimal portfolio ; financial mathematics (frei)
Thematische Einordnung (Klassifikation)
DDC: 330
OpenAccess: 
PDF
Dokumenttyp
Journal Article/Contribution to a book
Format
online
Sprache
English
Anmerkung
Peer reviewed article
Externe Identnummern
WOS Core Collection: WOS:000447050100014
SCOPUS: SCOPUS:2-s2.0-85056737512
Interne Identnummern
RWTH-2018-227707
Datensatz-ID: 731763
Beteiligte Länder
Germany, USA
Related:
Preprint
A General Framework for Portfolio Theory : Part II: drawdown risk measures
Report / Institut für Mathematik, RWTH Aachen 92, 35 Seiten (2017)
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Preprint
A General Framework for Portfolio Theory : Part II: drawdown risk measures
[1]-35 (2017) [10.48550/ARXIV.1710.04818]
Fulltext by arXiv.org
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Journal Article/Contribution to a book
A General Framework for Portfolio Theory - Part I: Theory and Various Models
Risks : open access journal 6(2), 53 (2018) [10.3390/risks6020053] special issue: "Special Issue "Computational Methods for Risk Management in Economics and Finance" / Special Issue Editor: Dr. Marina Resta, Guest Editor" (978-3-03928-499-3)
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