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A General Framework for Portfolio Theory : Part II: drawdown risk measures
;
2017
Online
URL: http://www.instmath.rwth-aachen.de/Preprints/maier-paape20171011b.pdf
Einrichtungen
Inhaltliche Beschreibung (Schlagwörter)
admissible convex risk measures (frei) ; current drawdown (frei) ; efficient frontier (frei) ; financial mathematics (frei) ; fractional Kelly allocation (frei) ; growth optimal portfolio (frei) ; portfolio theory (frei)
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Dokumenttyp
Preprint
Format
online
Sprache
English
Interne Identnummern
RWTH-2017-08891
Datensatz-ID: 706833
Beteiligte Länder
Germany, USA
Related:
Report
A General Framework for Portfolio Theory : Part I: theory and various models
Report / Institut für Mathematik, RWTH Aachen 91, 47 Seiten (2017)
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Preprint
A General Framework for Portfolio Theory : Part I: theory and various models
43 Seiten : Illustrationen (2017) [10.48550/ARXIV.1710.04579]
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Preprint
A General Framework for Portfolio Theory : Part II: drawdown risk measures
[1]-35 (2017) [10.48550/ARXIV.1710.04818]
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Journal Article/Contribution to a book
A General Framework for Portfolio Theory : Part II: Drawdown Risk Measures
Risks 6(3), 76 (2018) [10.3390/risks6030076] special issue: "Special Issue "Computational Methods for Risk Management in Economics and Finance" / Guest Editor Dr. Marina Resta, University of Genova, Italy"
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