Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach
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- Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
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This paper has been announced in the following NEP Reports:- NEP-FMK-2024-01-29 (Financial Markets)
- NEP-RMG-2024-01-29 (Risk Management)
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