Drawdown Beta and Portfolio Optimization

Explore a quantitative finance seminar on drawdown beta and portfolio optimization presented by Stan Uryasev and Rui Ding from Stony Brook University. Delve into the concept of Expected Regret of Drawdown (ERoD), a new dynamic portfolio performance risk measure, and its similarities to Conditional Drawdown-at-Risk (CDaR). Examine how ERoD portfolio optimization leads to Capital Asset Pricing Model (CAPM) equations and introduces ERoD Beta, which relates expected returns of securities and market. Compare ERoD Beta to Standard Beta and Downside Beta, understanding its unique focus on market drawdown periods. Learn about a website reporting CDaR and ERoD Betas for stocks and the SP500 index, and discover how these metrics can be applied in risk management and portfolio construction.

Drawdown Beta and Portfolio Optimization