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.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Journal of Finance and Investment Analysis ; ISSN: 2241-0996 ; Volume: 1 ; Year: 2012 ; Issue: 1 ; Pages: 93-105 ; International Scientific Press
- Classification
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
- Subject
-
drawdown
portfolio
risk
expected return
- Event
-
Geistige Schöpfung
- (who)
-
Davidsson, Marcus
- Event
-
Veröffentlichung
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Davidsson, Marcus
Time of origin
- 2012
Other Objects (12)
Portfolio optimization with risk constraints
Portfolio optimization with stochastic dominance constraints
Duality Methods for Dynamic Portfolio Optimization with Constraints
Optimization of a dynamic supply portfolio considering risks and discount's constraints
Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Portfolio Optimization with Risk Constraints in the View of Stochastic Interest Rates
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Portfolio constraints: An empirical analysis
Bond portfolio optimization
An adapted Black Widow Optimization Algorithm for Financial Portfolio Optimization Problem with cardinalty and budget constraints
Essays on portfolio optimization and ESG ratings under risk constraints and incomplete information
An Exact Solution Approach for Portfolio Optimization Problems under Stochastic and Integer Constraints
Portfolio optimization with risk constraints
Portfolio optimization with stochastic dominance constraints
Duality Methods for Dynamic Portfolio Optimization with Constraints
Optimization of a dynamic supply portfolio considering risks and discount's constraints
Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Portfolio Optimization with Risk Constraints in the View of Stochastic Interest Rates
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Portfolio constraints: An empirical analysis
Bond portfolio optimization
An adapted Black Widow Optimization Algorithm for Financial Portfolio Optimization Problem with cardinalty and budget constraints
Essays on portfolio optimization and ESG ratings under risk constraints and incomplete information
An Exact Solution Approach for Portfolio Optimization Problems under Stochastic and Integer Constraints
Portfolio optimization with risk constraints
Portfolio optimization with stochastic dominance constraints
Duality Methods for Dynamic Portfolio Optimization with Constraints
Optimization of a dynamic supply portfolio considering risks and discount's constraints
Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios
Portfolio Optimization with Risk Constraints in the View of Stochastic Interest Rates
Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Portfolio constraints: An empirical analysis
Bond portfolio optimization
An adapted Black Widow Optimization Algorithm for Financial Portfolio Optimization Problem with cardinalty and budget constraints
Essays on portfolio optimization and ESG ratings under risk constraints and incomplete information