Multi-period portfolio selection with drawdown control (Q2288940)
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scientific article; zbMATH DE number 7153557
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Multi-period portfolio selection with drawdown control |
scientific article; zbMATH DE number 7153557 |
Statements
Multi-period portfolio selection with drawdown control (English)
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20 January 2020
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risk management
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maximum drawdown
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dynamic asset allocation
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model predictive control
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regime switching
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forecasting
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0.830036461353302
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0.8300364017486572
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0.7808279395103455
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0.77207350730896
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