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  • Search: subject:"Optimized drawdown risk measure"
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Drawdown risk measure 1 Financial risk 1 Malaysia 1 Mutual fund 1 Optimized drawdown risk measure 1 Performance evaluation 1 Risk management 1 Unit trusts 1
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research-article 1
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English 1
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Ibrahim, Izani 1 Matnor, Fauzias 1 Reza Tavakoli Baghdadabad, Mohammad 1
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Journal of Islamic Accounting and Business Research 1
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Optimized drawdown risk in evaluating the performance of Malaysian mutual funds
Reza Tavakoli Baghdadabad, Mohammad; Matnor, Fauzias; … - In: Journal of Islamic Accounting and Business Research 3 (2012) 2, pp. 138-162
Purpose – This paper aims to evaluate the risk‐adjusted performance of Malaysian mutual funds using optimized drawdown risk measures (ODRMs) based on modern portfolio theory, and to represent the results in a manner which is easily understood by average investors and portfolio managers....
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