Dynamic optimal capital growth with risk constraints

Luo Yong, Zhu Bo and Tang Yong

Economic Modelling, 2013, vol. 30, issue C, 586-594

Abstract: In this paper, risk metrics in capital growth and drawdown as a financial risk measure were considered. Moreover, we developed a dynamic portfolio management model with constraints on the maximal drawdown. Exact optimization algorithms run into difficulties in this framework and this motivates the investigation of simulated annealing optimized algorithm to solve the problem of maximizing long term growth of simultaneous risky investment. Empirical research indicates that the approach is inspiring for this class of portfolio optimization problems.

Keywords: Capital growth; Risk metrics; Drawdown; Portfolio optimization; Simulated annealing (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:30:y:2013:i:c:p:586-594

DOI: 10.1016/j.econmod.2012.09.020

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