Mean-Maximum Drawdown optimization of buy-and-hold portfolios using a multi-objective evolutionary algorithm
Mikica Drenovak, Vladimir Ranković, Branko Urošević, Ranko Jelic
| Year of publication: |
2022
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|---|---|
| Authors: | Drenovak, Mikica ; Ranković, Vladimir ; Urošević, Branko ; Jelic, Ranko |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 46.2022, 1, p. 1-11
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| Subject: | Risk management | Portfolio optimization | Genetic algorithm | Maximum drawdown | Portfolio-Management | Portfolio selection | Evolutionärer Algorithmus | Evolutionary algorithm | Mathematische Optimierung | Mathematical programming | Risikomanagement | Theorie | Theory | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102328 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013341443