Drawdown Measure in Portfolio Optimization

  title={Drawdown Measure in Portfolio Optimization},
  • 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


Publications referenced by this paper.
Showing 1-10 of 10 references

Optimal investment strategies for controlling drawdowns

  • S. J. Grossman, Z. Zhou
  • Mathematical Finance 3(3)
  • 1993
Highly Influential
6 Excerpts

A minimax portfolio selection rule with linear programming solution

  • M. R. Young
  • Management Science 44(5)
  • 1998
1 Excerpt

Value at Risk: A New Benchmark for Measuring Derivatives

  • P. Jorion
  • Risk (Irwin Professional Publisher,
  • 1996
1 Excerpt

An Introduction to the Bootstrap (Chapman & Hall/CRC

  • B. Efron, R. J. Tibshirani
  • New York,
  • 1993
1 Excerpt

Tracking models and the optimal regret distribution in asset allocation

  • R. S. Dembo, A. J. King
  • Applied Stochastic Models and Data Analysis 8
  • 1992
2 Excerpts

Mean absolute deviation portfolio optimization model and its application to tokyo stock market

  • H. Konno, H. Yamazaki
  • Management Science 37
  • 1991
1 Excerpt

Portfolio selection

  • H. M. Markowitz
  • Journal of Finance 7(1)
  • 1952
2 Excerpts

Similar Papers

Loading similar papers…