Multi-period portfolio selection with drawdown control
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 | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomanagement | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
-
Szubzda, Filip, (2019)
-
On equity risk prediction and tail spillovers
Pouliasis, Panos, (2017)
-
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda, (2023)
- More ...
-
Regime-based versus static asset allocation : letting the data speak
Nystrup, Peter, (2015)
-
Dimensionality reduction in forecasting with temporal hierarchies
Nystrup, Peter, (2021)
-
Detecting change points in VIX and S&P 500 : a new approach to dynamic asset allocation
Nystrup, Peter, (2016)
- More ...