SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Portfolio selection with a drawdown constraint · Study

ArticleShelves

ArticlePortfolio selection with a drawdown constraint

Gordon J. Alexander2006

OA

Articlegreen2006

Portfolio selection with a drawdown constraint

Gordon J. Alexander · Alexandre M. Baptista

65 citations·0/0 files stored·Journal of Banking & Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 65 citations exist upstream.

References

1952Portfolio Selection 1993Dynamic Asset Pricing Theory.2003Risks and Portfolio Decisions Involving Hedge Funds 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1972An Analytic Derivation of the Efficient Portfolio Frontier 1989Foundations for Financial Economics.1992A Mean/Variance Analysis of Tracking Error 1988Foundations for Financial Economics

Cited by

2010Active portfolio management with benchmarking: A frontier based on alpha 2013Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model 2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework 2010A historical examination of optimal real return portfolios for non‐US investors

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007Active portfolio management with benchmarking: Adding a value-at-risk constraintarticle · 9 shared references 2006Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approacharticle · 7 shared references 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Modelarticle · 5 shared references 2018Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background riskarticle · 5 shared references 2010Active portfolio management with benchmarking: A frontier based on alphaarticle · 5 shared references 2008Portfolio optimization with an envelope-based multi-objective evolutionary algorithmarticle · 4 shared references

Details

Year2006

Typearticle

Published2006-07-19

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations65

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.jbankfin.2005.12.006

openalex_workW2129482899

Links

Imported from OpenAlex (CC0) — nothing here is generated.