A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures
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Cited by:
- Marcos López de Prado & Ralph Vince & Qiji Jim Zhu, 2019. "Optimal Risk Budgeting under a Finite Investment Horizon," Risks, MDPI, vol. 7(3), pages 1-15, August.
- Sagara Dewasurendra & Pedro Judice & Qiji Zhu, 2019. "The Optimum Leverage Level of the Banking Sector," Risks, MDPI, vol. 7(2), pages 1-30, May.
- Stanislaus Maier-Paape & Andreas Platen & Qiji Jim Zhu, 2019. "A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach," Risks, MDPI, vol. 7(2), pages 1-31, June.
- Giovanni Masala & Filippo Petroni, 2023. "Drawdown risk measures for asset portfolios with high frequency data," Annals of Finance, Springer, vol. 19(2), pages 265-289, June.
- Leonie Violetta Brinker, 2021. "Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model," Risks, MDPI, vol. 9(1), pages 1-18, January.
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Keywords
admissible convex risk measures; current drawdown; efficient frontier; portfolio theory; fractional Kelly allocation; growth optimal portfolio; financial mathematics;All these keywords.
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