Portfolio models for optimizing drawdown duration

DOI10.1142/s0219024924500146MaRDI QIDQ6633870

Juuso Liesiö, Andrei Vedernikov, Tomi Seppälä

Publication date: 6 November 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationfinancemixed-integer linear programmingdrawdown

Mathematics Subject Classification ID

Mixed integer programming (90C11) Linear programming (90C05) Portfolio theory (91G10)

Cites Work

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• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Filtering time-dependent covariance matrices using time-independent eigenvalues

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