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Portfolio selection with a drawdown constraint
16 references·4 citing·42 second hop
Portfolio selection with a drawdown constraint (2006)Portfolio selection with a drawdown const…DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)DRAWDOWN MEASURE IN PORTFOLIO…A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)A Comparison of VaR and CVaR …Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Portfolio Optimization with Tracking-Error Constraints (2003)Portfolio Optimization with T…Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis (2002)Economic implications of usin…Necessary Conditions for the CAPM (1997)Necessary Conditions for the …Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers (1997)Does It All Add Up? Benchmark…On Portfolio Optimization under “Drawdown” Constraints (1995)On Portfolio Optimization und…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Mean-Variance Analysis in Por…Foundations for Financial Economics. (1989)Foundations for Financial Eco…Foundations for Financial Economics (1988)Foundations for Financial Eco…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Portfolio Selection (1952)Portfolio SelectionMean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017)Mean–variance target-based op…Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (2013)Portfolio optimisation under …Active portfolio management with benchmarking: A frontier based on alpha (2010)Active portfolio management w…A historical examination of optimal real return portfolios for non‐US investors (2010)A historical examination of o…Optimum consumption and portfolio rules in a continuous-time model (1971)Stochastic Integration and Differential Equations (1990)Theory of constant proportion portfolio insurance (1992)On dynamic measures of risk (1999)Large stock market price drawdowns are outliers (2001)Portfolio Selection: Efficient Diversification of Investments (1959)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Hedge Fund Benchmarks: A Risk-Based Approach (2004)Role of Managerial Incentives and Discretion in Hedge Fund Performance (2009)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Spectral risk measures and portfolio selection (2008)Twenty years of linear programming based portfolio optimization (2013)Deep Learning for Portfolio Optimization (2020)A Simple Nonparametric Approach to Derivative Security Valuation (1996)Asset Pricing under Asymmetric Information (2001)Economic integration, industrial specialization, and the asymmetry of macroeconomic fluctuations (2001)Foundations of Portfolio Theory (1991)Asset pricing with liquidity risk (2005)An Engine, Not a Camera (2006)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Option‐Implied Risk Aversion Estimates (2004)Financial liberalization, private investment and portfolio choice: Financialization of real sectors in emerging markets (2008)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)An evolutionary heuristic for the index tracking problem (2003)The Gambler's and Hot-Hand Fallacies: Theory and Applications (2009)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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  • 1952Portfolio Selection4,609 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 1989Mean-Variance Analysis in Portfolio Choice and Capital Markets.1,160 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1989Foundations for Financial Economics.831 cited
  • 1992A Mean/Variance Analysis of Tracking Error747 cited
  • 1988Foundations for Financial Economics492 cited
  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited
  • 2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION349 cited
  • 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model333 cited
  • 2002Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis330 cited
  • 1997Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers320 cited
  • 2003Portfolio Optimization with Tracking-Error Constraints246 cited
  • 1995On Portfolio Optimization under “Drawdown” Constraints159 cited
  • 1997

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Necessary Conditions for the CAPM
153 cited

Cited by

  • 2010Active portfolio management with benchmarking: A frontier based on alpha57 cited
  • 2013Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model43 cited
  • 2017Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework41 cited
  • 2010A historical examination of optimal real return portfolios for non‐US investors38 cited