5 citations · 6 across the 2 of their papers we have counts for
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q-fin.PM2014
Drawdown: From Practice to Theory and Back Again
Lisa R. Goldberg, Ola Mahmoud
Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed…
q-fin.PM2011
Minimizing Shortfall
Lisa R. Goldberg, Michael Y. Hayes, Ola Mahmoud
This paper describes an empirical study of shortfall optimization with Barra Extreme Risk. We compare minimum shortfall to minimum variance portfolios in the US, UK, and Japanese e…