Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review

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Original languageEnglish
Title of host publicationSpecial Volume: Mathematical Modeling and Numerical Methods in Finance
EditorsAlain Bensoussan, Qiang Zhang
Place of PublicationAmsterdam
PublisherElsevier B.V.
Pages189-226
ISBN (electronic)9780080931005
ISBN (print)9780444518798
Publication statusPublished - 2009

Publication series

NameHandbook of Numerical Analysis
Volume15
ISSN (Print)1570-8659

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DOI
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Link to Scopus https://www.scopus.com/record/display.uri?eid=2-s2.0-70350315085&origin=recordpage
Permanent Link https://scholars.cityu.edu.hk/en/publications/publication(92152924-e0eb-4559-9f09-90d49aed088d).html

Abstract

Downside risk and drawdown risk measures are two important measures that qualify the risk characteristics of a portfolio. In this chapter, we consider three wellknown optimal dynamic strategies and examine in detail their risk characteristics in long-term investments and portfolio frontiers under various downside and drawdown risk measures. We determine which strategy among the three performs best in various parameter regions for a given downside or drawdown risk measure. An investigation on the correlation among different risk measures has also been carried out. © 2009 Elsevier B.V. All rights reserved.

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Continuous-time Keyphrases
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Risk Characteristic... Keyphrases
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Downside Risk Keyphrases
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Optimal Portfolio Keyphrases
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Drawdown Risk Measu... Keyphrases
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risks INIS
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drawdown INIS
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Continuous Time Mathematics
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Risk Measure Mathematics
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Downside Risk Measu... Keyphrases
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Citation Format(s)

[ RIS ] [ BibTeX ]
Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time. / Yang, Dennis; Yu, Minjie; Zhang, Qiang.
Special Volume: Mathematical Modeling and Numerical Methods in Finance. ed. / Alain Bensoussan; Qiang Zhang. Amsterdam: Elsevier B.V., 2009. p. 189-226 (Handbook of Numerical Analysis; Vol. 15).

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review