Drawdown Measure in Portfolio Optimization
By A.N. Chekhlov, Stanislav Uryasev, Michael Zabarankin. 2005
315 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research, Ocean Engineering
View Paper: https://www.semanticscholar.org/paper/792dfbbe299e9890f7f28d17ac1a17485de300ab
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Citations in the corpus
- Drawdowns and the Speed of Market Crash (2012, unknown): “It is for this reason that drawdown processes have also been used as constraints in portfolio optimization (see, for example, Grossman and Zhou 1993, Cvitanic and Karatzas 1995, Chekhlov et al. 2005).”
- Higher moment coherent risk measures (2007, background): “Risk measures that are similar to CVaR and/or may coincide with it, are Expected Shortfall and Tail VaR (Acerbi and Tasche 2002), see also Conditional Drawdown-at-Risk (Krokhmal et al. 2002b, Chekhlov et al. 2005).”
- On the drawdown of completely asymmetric Lévy processes (2011, unknown): “[12] introduced a oneparameter family of portfolio risk measures that was called conditional drawdown and defined to be equal to the mean of a percentage of the worst portfolio drawdowns.”
- Measuring the Reliability of Reinforcement Learning Algorithms (2019, unknown): “The Drawdown at time T is the drop in performance relative to the highest peak so far, and is another measure borrowed from economics (Chekhlov et al., 2005).”
- On magnitude, asymptotics and duration of drawdowns for L\'{e}vy models (2015, background): “[8] proposed a new family of risk measures and studied problems of parameter selection and portfolio optimization under the new measures.”
- MAXIMUM DRAWDOWN INSURANCE (2011, unknown): “[9], Cvitanic and Karatzas [10], Grossman and Zhou [14].”
- Comparative Evaluation of Multi-Agent Deep Reinforcement Learning Algorithms (2020, unknown): “Therefore, CVaR is applied to the drawdown [5] rather than adjacent evaluation returns.”