21 citations · 21 across the 2 of their papers we have counts for
2 papers
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,…