Portfolio models for optimizing drawdown duration

DOI10.1142/S0219024924500146MaRDI QIDQ6633870zbMATH OpenFDO

Authors Andrei Vedernikov, Juuso Liesiö, Tomi Seppälä

Publication date 6 November 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024924500146

zbMATH Keywords

drawdownfinancemixed-integer linear programmingportfolio optimization

Mathematics Subject Classification ID

Linear programming (90C05) Mixed integer programming (90C11) Portfolio theory (91G10)

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Cites work

• Capital asset pricing model (CAPM) with drawdown measure
• CVXPY: a Python-embedded modeling language for convex optimization
• Direct data-based decision making under uncertainty
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Filtering time-dependent covariance matrices using time-independent eigenvalues
• scientific article; zbMATH DE number 1082208 (Why is no real title available?)
• scientific article; zbMATH DE number 3244317 (Why is no real title available?)
• Maximum drawdown insurance
• Minimizing the probability of lifetime drawdown under constant consumption
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Pricing American drawdown options under Markov models
• Sharper asset ranking from total drawdown durations

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