Artikel
DrawDown constraints and portfolio optimization
The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown constraints are indeed linear and can be used to find for example maximum risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer intensive Monte Carlo methods.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Finance and Investment Analysis ; ISSN: 2241-0996 ; Volume: 1 ; Year: 2012 ; Issue: 1 ; Pages: 93-105 ; International Scientific Press
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
- Thema
-
drawdown
portfolio
risk
expected return
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Davidsson, Marcus
- Ereignis
-
Veröffentlichung
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Davidsson, Marcus
Entstanden
- 2012
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