Fabio Lanza

Independent

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Scholarly Papers (1)

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Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 18/WP/2014
Number of pages: 28 Posted: 12 Nov 2014
Diana Barro, Elio Canestrelli and Fabio Lanza
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Independent
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Abstract:

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Volatility, tail risk, stochastic programming, risk management