Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance
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More about this item
Keywords
Volatility; tail risk; stochastic programming; risk management.;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2014-12-13 (Operations Research)
- NEP-RMG-2014-12-13 (Risk Management)
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