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q-fin.PM2015
The Temporal Dimension of Risk
Ola Mahmoud
Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been…
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…