A general framework for portfolio theory. Part II: Drawdown risk measures
The aim of this paper is to provide several examples of convex risk measures necessary for the application of the 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 devi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |