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29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds

Pavlo A. Krokhmal, Stan Uryasev, Grigoriy Zrazhevsky. 29. Numerical Comparison of Conditional Value-at-Risk and Conditional Drawdown-at-Risk Approaches: Application to Hedge Funds. In Stein W. Wallace, William T. Ziemba, editors, Applications of Stochastic Programming. pages 609-631, SIAM, 2005. [doi]

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