Characterization of efficient frontier for mean-variance model with a drawdown constraint

DOI10.1016/J.AMC.2013.07.009MaRDI QIDQ902570zbMATH OpenOpenAlexFDO

Authors Haixiang Yao, Yongzeng Lai, Qinghua Ma, H. B. Zheng

Publication date 18 January 2016

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2013.07.009

zbMATH Keywords

portfolio selectionefficient frontierdrawdown constraintarbitrage-free hypothesisprimitive securities

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 852301 (Why is no real title available?)
• A cutting plane algorithm for MV portfolio selection model
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Finite time Merton strategy under drawdown constraint: a viscosity solution approach
• Mean-variance portfolio optimal problem under concave transaction cost
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• On admissible efficient portfolio selection policy
• Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
• Optimal lifetime consumption and investment under a drawdown constraint
• Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
• Use of stochastic and mathematical programming in portfolio theory and practice

Cited in

(6)

• Tail variance of portfolio under generalized Laplace distribution
• Efficient frontier of utility and CVaR
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
• Optimal portfolio selection of mean-variance utility with stochastic interest rate
• Portfolio model and its explicit expressions of portfolio efficient frontier with minimum investment proportion constraint
• Drawdown risk measures for asset portfolios with high frequency data

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