Multi-period portfolio selection with drawdown control
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Publication:2288940
DOI10.1007/S10479-018-2947-3zbMATH Open1430.91088OpenAlexW2808847270WikidataQ129622265 ScholiaQ129622265MaRDI QIDQ2288940FDOQ2288940
Authors: Peter Nystrup, Erik Lindström, Henrik Madsen, Stephen Boyd 
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://orbit.dtu.dk/en/publications/eb9557d4-f23c-40ee-9c2c-935d4d2e5f1e
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forecastingregime switchingmodel predictive controlrisk managementdynamic asset allocationmaximum drawdown
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Cited In (17)
- Fused Lasso approach in portfolio selection
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- Nonconvex multi-period mean-variance portfolio optimization
- Investment portfolio tracking using model predictive control
- Bayesian nonparametric portfolio selection with rolling maximum drawdown control
- Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
- Comprehensive analysis of gradient-based hyperparameter optimization algorithms
- Multiobjective dynamic optimization of investment portfolio based on model predictive control
- Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies
- Multi-period portfolio selection with investor views based on scenario tree
- Portfolio selection with marginal risk control
- Green transition, investment horizon, and dynamic portfolio decisions
- Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
- Research on portfolio optimization under asymmetric power-law distribution of return tail
- Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
- Dynamic allocation strategies for absolute and relative loss control
- Survey on multi-period mean-variance portfolio selection model
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