"Capital Asset Pricing Model (CAPM) with drawdown measure."

Michael Zabarankin, Konstantin Pavlikov, Stan Uryasev (2014)

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DOI: 10.1016/J.EJOR.2013.03.024

access: closed

type: Journal Article

metadata version: 2020-02-21

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Michael Zabarankin, Konstantin Pavlikov, Stan Uryasev:
Capital Asset Pricing Model (CAPM) with drawdown measure. Eur. J. Oper. Res. 234(2): 508-517 (2014)

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