Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space
نویسندگان
چکیده
منابع مشابه
Drawdown Measure in Portfolio Optimization
A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α, in the case of a single sample path, drawdown functional is defined as the mean of the worst (1 − α) ∗ 100% drawdowns. The CDD m...
متن کاملPortfolio Optimization with Drawdown Constraints
We propose a new one-parameter family of risk functions defined on portfolio return sample -paths, which is called conditional drawdown-at-risk (CDaR). These risk functions depend on the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α , the CDaR is defined as the mean of the worst % 100 ) 1 ( ∗ − α drawdowns. The CDaR ...
متن کاملPreventing Portfolio Losses by Hedging Maximum Drawdown
In this article, we study the concept of maximum drawdown and its relevance to the prevention of portfolio losses. Maximum drawdown is defined as the largest market drop during a given time interval. We show that maximum drawdown can serve as an additional tool for portfolio managers on top of already existing contracts, such as put or lookback options.
متن کاملPortfolio Sensitivity to the Changes in the Maximum and the Maximum Drawdown
In this article, we define new “Greeks” for financial derivatives: sensitivities to the running maximum and the running maximum drawdown of an underlying asset. Some types of portfolios, such as the net asset value of a hedge fund or performance fees are sensitive to these parameters. In order to illustrate the concept of the new “Greeks”, we derive probabilistic representations of sensitivitie...
متن کاملThe Composition and Drawdown of Wealth in Retirement.
A s the “baby boomers” approach and enter their retirement years, the accumulation phase of their life-cycle is nearly over. Thus, the focus of many researchers, fi nancial services fi rms, and public policymakers concerned with retirement saving is shifting from the accumulation of resources while working to the drawdown of resources during retirement. Retired households are dependent on the a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1473595