Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm
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DOI: 10.1016/j.frl.2021.102328
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Cited by:
- Qian, Yihe & Wang, Jinpeng, 2024. "Multi-period portfolio optimization: A parallel NSGA-III algorithm with real-world constraints," Finance Research Letters, Elsevier, vol. 60(C).
- Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M.M., 2024.
"First passage times in portfolio optimization: A novel nonparametric approach,"
European Journal of Operational Research, Elsevier, vol. 312(3), pages 1074-1085.
- Paulo M.M. Rodrigues & Gabriel Zsurkis, 2023. "First passage times in portfolio optimization: a novel nonparametric approach," Working Papers w202309, Banco de Portugal, Economics and Research Department.
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More about this item
Keywords
Maximum drawdown; Genetic algorithm; Portfolio optimization; Risk management;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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