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...

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Bibliografske podrobnosti

Principais autores:	Stanislaus Maier-Paape, Qiji Jim Zhu
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2018-08-01
Serija:	Risks
Teme:	admissible convex risk measures current drawdown efficient frontier portfolio theory fractional Kelly allocation, growth optimal portfolio financial mathematics
Online dostop:	http://www.mdpi.com/2227-9091/6/3/76
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