Multi-period portfolio selection with drawdown control
نویسندگان
چکیده
منابع مشابه
Portfolio 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 ...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2018
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-018-2947-3