EconPapers    
Economics at your fingertips  
 

DrawDown Constraints and Portfolio Optimization

Marcus Davidsson

Journal of Finance and Investment Analysis, 2012, vol. 1, issue 1, 4

Abstract: The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown constraints are indeed linear and can be used to find for example maximum risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer intensive Monte Carlo methods.

Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/JFIA%2fVol%201_1_4.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:fininv:v:1:y:2012:i:1:f:1_1_4

Access Statistics for this article

More articles in Journal of Finance and Investment Analysis from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().

 
Page updated 2025-03-20
Handle: RePEc:spt:fininv:v:1:y:2012:i:1:f:1_1_4