Characterization of efficient frontier for mean-variance model with a drawdown constraint

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

zbMATH Keywords

portfolio selectionefficient frontierdrawdown constraintarbitrage-free hypothesisprimitive securities

Mathematics Subject Classification ID

Portfolio theory (91G10)

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

Cites Work

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• Mean-variance portfolio optimal problem under concave transaction cost
• On admissible efficient portfolio selection policy
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION

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