Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Diana Barro, Elio Canestrelli, Fabio Lanza
| Year of publication: |
[2014]
|
|---|---|
| Authors: | Barro, Diana ; Canestrelli, Elio ; Lanza, Fabio |
| Publisher: |
Venice Italy : Department of Economics, Ca’ Foscari University of Venice |
| Subject: | Volatility | tail risk | stochastic programming | risk management | Volatilität | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Kapitaleinkommen | Capital income |
freely available
| Extent: | 1 Online-Ressource (circa 28 Seiten) Illustrationen |
|---|---|
| Series: | Working papers. - Venezia : [Verlag nicht ermittelbar], ISSN 1827-336X, ZDB-ID 2201241-2. - Vol. 2014, no. 18 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011632160