A general framework for portfolio theory : part II: drawdown risk measures
Year of publication: |
September 2018
|
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Authors: | Maier-Paape, Stanislaus ; Zhu, Qiji Jim |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 3, p. 1-31
|
Subject: | admissible convex risk measures | current drawdown | efficient frontier | portfolio theory | fractional Kelly allocation | growth optimal portfolio | financial mathematics | Theorie | Theory | Portfolio-Management | Portfolio selection | Risiko | Risk | Finanzmathematik | Mathematical finance | Risikomaß | Risk measure | Messung | Measurement |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6030076 [DOI] hdl:10419/195868 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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