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
portfolio selectionefficient frontierdrawdown constraintarbitrage-free hypothesisprimitive securities
Related Items (4)
Drawdown risk measures for asset portfolios with high frequency data ⋮ Optimal portfolio selection of mean-variance utility with stochastic interest rate ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
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