Portfolio Optimization with Drawdown Constraints

By A.N. Chekhlov, Stanislav Uryasev, Michael Zabarankin. 2000

137 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d4d80ff9d9f0ccf3291b74da4bdbfcb74de064ca

Citations in the corpus

• ON A CONVEX MEASURE OF DRAWDOWN RISK (2014, unknown): “The optimization of the tail mean of a maximum drawdown distribution follows in a fairly straightforward manner, and is similar to that of Chekhlov et al. (2003, 2005).”
• Drawdown Measure in Portfolio Optimization (2005, unknown): “The CDD [6] was not defined as a true risk measure and the real-life portfolio optimization example was considered based only on the historical sample paths of assets’ rates of return.”