Characterization of efficient frontier for mean-variance model with a drawdown constraint

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Publication:902570

DOI10.1016/j.amc.2013.07.009zbMath1329.91127OpenAlexW2032527933MaRDI QIDQ902570

Qing-Hua Ma, Huabao Zheng, Yongzeng Lai, Haixiang Yao

Publication date: 18 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.07.009




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