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Average drawdown risk reduction and risk tolerances

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  • Tavakoli Baghdadabad, Mohammad Reza

Abstract

We investigate the effects of average drawdown risk reduction on US mutual funds. Due to numerous evidence of the asymmetric distribution of portfolio returns, the asymmetric risk measures have extensively been used in risk management during the recent decades with extensive usages on the n-degree lower partial moment (LPM) methodology. Unlike the previous literature, we use the n-degree average drawdown risk measure, which is a special case of n-degree LPM, to empirically investigate the impacts of n-degree average drawdown risk reduction on the risk tolerances generated by the US mutual funds.

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  • Tavakoli Baghdadabad, Mohammad Reza, 2014. "Average drawdown risk reduction and risk tolerances," Research in Economics, Elsevier, vol. 68(3), pages 264-276.
    • Handle: RePEc:eee:reecon:v:68:y:2014:i:3:p:264-276
    DOI: 10.1016/j.rie.2014.02.002
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