Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

Alejandro Reveiz and Carlos León

Chapter 7 in Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, 2010, pp 134-157 from Palgrave Macmillan

Abstract: Abstract It is widely known that the Markowitz formulation of the portfolio optimization problem, based on maximizing expected return and minimizing risk, is the main pillar of the portfolio management theoretical foundations. Nevertheless, its limited impact in investment management practice is also widely recognized1, which has fostered new approaches to the portfolio optimization problem.

Keywords: Portfolio Optimization; Portfolio Selection; Efficient Frontier; Asset Allocation; Portfolio Weight (search for similar items in EconPapers)
Date: 2010
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Working Paper: Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space (2008)
Working Paper: Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space (2008)
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DOI: 10.1057/9780230251298_7

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