Multi-period portfolio selection with drawdown control
Peter Nystrup, Stephen Boyd, Erik Lindström, Henrik Madsen
| Year of publication: |
2019
|
|---|---|
| Authors: | Nystrup, Peter ; Boyd, Stephen P. ; Lindström, Erik ; Madsen, Henrik |
| Published in: |
Application of operations research to financial markets. - New York, NY, USA : Springer. - 2019, p. 245-271
|
| Subject: | Risk management | Maximum drawdown | Dynamic asset allocation | Model predictive control | Regime switching | Forecasting | Portfolio-Management | Portfolio selection | Risikomanagement | Prognoseverfahren | Forecasting model | Theorie | Theory | Anlageverhalten | Behavioural finance | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-2947-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012157466