Michael Zabarankin, Konstantin Pavlikov, Stan Uryasev. Capital Asset Pricing Model (CAPM) with drawdown measure. European Journal of Operational Research, 234(2):508-517, 2014. [doi]
@article{ZabarankinPU14,
title = {Capital Asset Pricing Model (CAPM) with drawdown measure},
author = {Michael Zabarankin and Konstantin Pavlikov and Stan Uryasev},
year = {2014},
doi = {10.1016/j.ejor.2013.03.024},
url = {http://dx.doi.org/10.1016/j.ejor.2013.03.024},
researchr = {https://researchr.org/publication/ZabarankinPU14},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {234},
number = {2},
pages = {508-517},
}