Seminar 217, Risk Management: Minimum Conditional Expected Drawdown Portfolios

Risk Seminar
Apr 11, 2017 11:00am to 1:00pm
639 Evans Hall
Happening As Scheduled
Drawdown, and in particular maximum drawdown, is a widely used indicator of risk in the fund management industry. It is a vital metric for a levered investor who can get caught in a liquidity trap and forced to sell valuable positions if unable to secure funding after an abrupt market decline. Moreover, it is a pathwise risk measure in contrast to end-horizon risk diagnostics like volatility,...
Speaker: Alex Papanicolaou, UC Berkeley (Speaker - Featured)