DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
From MaRDI portal
Publication:4675830
DOI10.1142/S0219024905002767zbMath1100.91040OpenAlexW3123675609MaRDI QIDQ4675830
Alexei Chekhlov, Michael Zabarankin, Stanislav P. Uryasev
Publication date: 6 May 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024905002767
stochastic optimizationportfolio optimizationconditional value-at-riskdrawdown measureequity drawdown
Related Items (48)
Portfolio management under drawdown constraint in discrete-time financial markets ⋮ Downside risk in multiperiod tracking error models ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ Kelly investing with downside risk control in a regime-switching market ⋮ Dynamic Tracking Error with Shortfall Control Using Stochastic Programming ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio ⋮ Drawdown beta and portfolio optimization ⋮ Drawdown: from practice to theory and back again ⋮ Drawdowns and the speed of market crash ⋮ Heuristic optimisation in financial modelling ⋮ MAXIMUM DRAWDOWN INSURANCE ⋮ Mean-variance-VaR portfolios: MIQP formulation and performance analysis ⋮ f-Betas and portfolio optimization with f-divergence induced risk measures ⋮ First passage times in portfolio optimization: a novel nonparametric approach ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ On minimizing drawdown risks of lifetime investments ⋮ A general method for analysis and valuation of drawdown risk ⋮ A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures ⋮ On the maximum increase and decrease of one-dimensional diffusions ⋮ An econometric analysis of drawdown based measures ⋮ Characterization of efficient frontier for mean-variance model with a drawdown constraint ⋮ Magnitude and speed of consecutive market crashes in a diffusion model ⋮ THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS ⋮ On the drawdown of completely asymmetric Lévy processes ⋮ Optimal portfolio strategy under rolling economic maximum drawdown constraints ⋮ Timing portfolio strategies with exponential Lévy processes ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems ⋮ Integrated portfolio management with options ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ Synergy effect of cooperative investment ⋮ PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT ⋮ Efficient optimization of the reward-risk ratio with polyhedral risk measures ⋮ Massively parallel processing of recursive multi-period portfolio models ⋮ Direct data-based decision making under uncertainty ⋮ Higher moment coherent risk measures ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model ⋮ Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies ⋮ Stochastic modeling and fair valuation of drawdown insurance ⋮ \(\pi \) options ⋮ Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups ⋮ AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES ⋮ Capital asset pricing model (CAPM) with drawdown measure ⋮ Twenty years of linear programming based portfolio optimization ⋮ KDE distributionally robust portfolio optimization with higher moment coherent risk ⋮ Individual and cooperative portfolio optimization as linear program ⋮ Drawdowns preceding rallies in the Brownian motion model
Cites Work
This page was built for publication: DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
