Drawdown Measure in Portfolio Optimization

@inproceedings{CHEKHLOV1996DrawdownMI,
  title={Drawdown Measure in Portfolio Optimization},
  author={ALEXEI CHEKHLOV},
  year={1996}
}
  • ALEXEI CHEKHLOV
  • Published 1996
A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α, in the case of a single sample path, drawdown functional is defined as the mean of the worst (1 − α) ∗ 100% drawdowns. The CDD measure generalizes the notion of the drawdown functional to a multi-scenario case and can be… CONTINUE READING

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