Portfolio Optimization with Drawdown Constraints. January 29, 2000. Alexei Chekhlov, TrendLogic Associates, Inc. Stanislav Uryasev & Mikhail Zabarankin, University of Florida, ISE. Introduction. Losing client’s accounts is equivalent to death of business;
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January 29, 2000
Alexei Chekhlov, TrendLogic Associates, Inc.
Stanislav Uryasev & Mikhail Zabarankin, University of Florida, ISE
- set of unknown weights;
- drawdown function.
Figure 2: AvDD Efficient Frontier
Figure 4: Efficient Frontier as a function of AvDD
Figure 6: AvDDRatio as a function of AvDD