Multi-period portfolio selection with drawdown control
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Publication:2288940
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Cited in
(17)- Feedback predictive control strategies for investment in the financial market with serially correlated returns subject to constraints and trading costs
- Comprehensive analysis of gradient-based hyperparameter optimization algorithms
- Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
- Bayesian nonparametric portfolio selection with rolling maximum drawdown control
- Multiobjective dynamic optimization of investment portfolio based on model predictive control
- Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
- Green transition, investment horizon, and dynamic portfolio decisions
- Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
- Revisiting the \(1/N\)-strategy: a neural network framework for optimal strategies
- Fused Lasso approach in portfolio selection
- Research on portfolio optimization under asymmetric power-law distribution of return tail
- Investment portfolio tracking using model predictive control
- Nonconvex multi-period mean-variance portfolio optimization
- Multi-period portfolio selection with investor views based on scenario tree
- Dynamic allocation strategies for absolute and relative loss control
- Portfolio selection with marginal risk control
- Survey on multi-period mean-variance portfolio selection model
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