A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach
暂无分享,去创建一个
[1] Stan Uryasev,et al. Capital Asset Pricing Model (CAPM) with drawdown measure , 2014, Eur. J. Oper. Res..
[2] Lisa R. Goldberg,et al. Drawdown: from practice to theory and back again , 2014, 1404.7493.
[3] Bert Fristedt,et al. A modern approach to probability theory , 1996 .
[4] J. Mossin. EQUILIBRIUM IN A CAPITAL ASSET MARKET , 1966 .
[5] J. Lintner. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets: A Reply , 1969 .
[6] Sanford J. Grossman,et al. OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS , 1993 .
[7] Ralph Vince. The Leverage Space Trading Model: Reconciling Portfolio Management Strategies and Economic Theory , 2009 .
[8] S. Uryasev,et al. Portfolio Optimization with Drawdown Constraints , 2000 .
[9] R. Rockafellar,et al. Master Funds in Portfolio Analysis with General Deviation Measures , 2006 .
[10] W. Sharpe. CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .
[11] Jakša Cvitanić,et al. On portfolio optimization under "drawdown" constraints , 1994 .
[12] Stanislaus Maier-Paape,et al. A General Framework for Portfolio Theory—Part I: Theory and Various Models , 2017, 1710.04579.
[13] L. Goldberg,et al. Drawdown: from practice to theory and back again , 2017 .
[14] Q. Zhu,et al. Convex Duality and Financial Mathematics , 2018 .
[15] Jan Oblój,et al. Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model , 2011, Finance Stochastics.
[16] S. Uryasev,et al. Drawdown Measure in Portfolio Optimization , 2003 .
[17] Q. Zhu,et al. A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures , 2017, Risks.
[18] V. Barbu,et al. Convexity and optimization in banach spaces , 1972 .
[19] J. Lintner. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .