PORTFOLIO OPTIMIZATION WITH DRAWDOWN CONSTRAINTS
2004; World Scientific; Linguagem: Inglês
10.1142/9789812562586_0013
ISSN1793-7973
AutoresAlexei Chekhlov, Stan Uryasev, Michael Zabarankin,
Tópico(s)Reservoir Engineering and Simulation Methods
ResumoSeries on Computers and Operations ResearchSupply Chain and Finance, pp. 209-228 (2004) No AccessPORTFOLIO OPTIMIZATION WITH DRAWDOWN CONSTRAINTSA. Chekhlov, S. Uryasev and M. ZabarankinA. ChekhlovTrendLogic Associates, Inc., One Fawcett Place, Greenwich, Ct 06830, USA, S. UryasevUniversity of Florida, ISE, P.O. Box 116595, 303 Weil Hall Gainesville, FL 32611-6595, USA and M. ZabarankinUniversity of Florida, ISE, P.O. Box 116595, 303 Weil Hall Gainesville, FL 32611-6595, USAhttps://doi.org/10.1142/9789812562586_0013Cited by:20 PreviousNext AboutSectionsPDF/EPUB ToolsAdd to favoritesDownload CitationsTrack CitationsRecommend to Library ShareShare onFacebookTwitterLinked InRedditEmail Abstract: We propose a new one-parameter family of risk measures, which is called Conditional Draw-down-at-Risk (CDaR). These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in an active portfolio management. For some value of the tolerance parameter β, the CDaR is defined as the mean of the worst (1 - β) * 100% drawdowns. The CDaR risk measure includes the Maximal Drawdown and Average Drawdown as its limiting cases. For a particular example, we find the optimal portfolios for a case of Maximal Drawdown, a case of Average Drawdown, and several intermediate cases between these two. The CDaR family of risk measures is similar to Conditional Value-at-Risk (CVaR), which is also called Mean Shortfall, Mean Access loss, or Tail Value-at-Risk. Some recommendations on how to select the optimal risk measure for getting practically stable portfolios are provided. We solved a real life portfolio allocation problem using the proposed measures. FiguresReferencesRelatedDetailsCited By 20Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable InnovationCheng Peng, Young Shin Kim and Stefan Mittnik23 May 2022 | Journal of Risk and Financial Management, Vol. 15, No. 5Investment opportunities in the energy market: What can be learnt from different energy sectorsGazi Salah Uddin, Maziar Sahamkhadam, Muhammad Yahya and Ou Tang21 March 2022 | International Journal of Finance & EconomicsStock Market Prediction and Portfolio OptimizationAtharva Gondkar, Jeevan Thukrul, Raghav Bang, Siddhika Rakshe and Sambhaji Sarode1 Oct 2021ALTERNATİF YÖNTEMLERE DAYALI PORTFÖY OPTİMİZASYONUÖnder BÜBERKÖKÜ31 August 2021 | Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, No. 59Black-Litterman Model and Momentum Strategy: Evidence of Taiwan Top 50 ETFShyh-Weir Tzang, Chun-Ping Chang, Chih-Hsing Hung and Yung-Shun Tsai10 June 2020A Multiperiod Multiobjective Portfolio Selection Model With Fuzzy Random Returns for Large Scale Securities DataChen Li, Yulei Wu, Zhonghua Lu, Jue Wang and Yonghong Hu1 Jan 2021 | IEEE Transactions on Fuzzy Systems, Vol. 29, No. 1Portfolio-Based Ranking of Traders for Social TradingZimao Liu and Qiang Ma1 Jan 2020 | IEEE Access, Vol. 8Strategic Markowitz Portfolio Optimization (SMPO): A Portfolio Return BoosterNavoneel Chakrabarty and Sanket Biswas1 Mar 2019Sustainable Investing and the Cross-Section of Maximum DrawdownLisa R. Goldberg and Saad Mouti1 Jan 2019 | SSRN Electronic Journal, Vol. 26Optimizing the performance of mean-variance portfolios in various markets: an "old-school" approachRoberto Stein and Orlando E. Contreras-Pacheco2 March 2018 | Investment Management and Financial Innovations, Vol. 15, No. 1Random VariablesMichael Zabarankin and Stan Uryasev10 September 2013Deviation, Risk, and Error MeasuresMichael Zabarankin and Stan Uryasev10 September 2013Probabilistic InequalitiesMichael Zabarankin and Stan Uryasev10 September 2013Maximum Likelihood MethodMichael Zabarankin and Stan Uryasev10 September 2013Entropy MaximizationMichael Zabarankin and Stan Uryasev10 September 2013Regression ModelsMichael Zabarankin and Stan Uryasev10 September 2013ClassificationMichael Zabarankin and Stan Uryasev10 September 2013Statistical Decision Models with Risk and DeviationMichael Zabarankin and Stan Uryasev10 September 2013Portfolio Safeguard Case StudiesMichael Zabarankin and Stan Uryasev10 September 2013Risk-Optimal Portfolios30 October 2012 Supply Chain and FinanceMetrics History PDF download
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