2015-07-21
Backtest drawdown on optimal portfolios
Publication
Publication
In this research paper, a risk measure named drawdown will be featured to value the risk of portfolio, which is introduced by Chekhlov et al. (2005). Portfolios will be created with the objective function to minimize the average drawdown or the conditional drawdown with restriction on the return. These portfolios will be backtested on the portfolio return and drawdown measures.
Additional Metadata | |
---|---|
Barendse, S. | |
hdl.handle.net/2105/30191 | |
Econometrie | |
Organisation | Erasmus School of Economics |
Weng, J.X. (2015, July 21). Backtest drawdown on optimal portfolios. Econometrie. Retrieved from http://hdl.handle.net/2105/30191
|