Portfolio Optimization with Drawdown Constraints

Author:

Chekhlov Alexei,Uryasev Stanislav P.,Zabarankin Michael

Publisher

Elsevier BV

Reference15 articles.

1. Credit risk optimization with Conditional Value-at-Risk criterion

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3. On Portfolio Optimization Under "Drawdown;J Cvitanic;Constraints, IMA Lecture Notes in Mathematics & Applications,1995

4. Tracking Models and the Optimal Regret Distribution in Asset Allocation;R S Dembo;Applied Stochastic Models and Data Analysis,1992

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