21 citations · 30 across the 8 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
q-fin.RM2017
A General Framework for Portfolio Theory. Part II: drawdown risk measures
Stanislaus Maier-Paape, Qiji Jim Zhu
The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu, pre…
q-fin.PM2017★ 21 cited
A General Framework for Portfolio Theory. Part I: theory and various models
Stanislaus Maier-Paape, Qiji Jim Zhu
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens,…
q-fin.PM2017
Existence and Uniqueness for the Multivariate Discrete Terminal Wealth Relative
Andreas Hermes, Stanislaus Maier-Paape
In this paper the multivariate fractional trading ansatz of money management from Ralph Vince (Portfolio Management Formulas: Mathematical Trading Methods for the Futures, Options,…