Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks 6 (2018) 3, pp. 1-31
general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series. As an alternative to … classical portfolio risk measures such as the standard deviation, we, in particular, construct risk measures related to the … 'current' drawdown of the portfolio equity. In contrast to references Chekhlov, Uryasev, and Zabarankin (2003, 2005), Goldberg …