Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model.
Vladimir ChernyJan OblójPublished in: Finance Stochastics (2013)
Keyphrases
- cost function
- data sets
- portfolio optimization
- experimental data
- objective function
- prior knowledge
- data mining
- computational model
- management system
- multi objective
- high level
- probabilistic model
- theoretical analysis
- theoretical framework
- mathematical model
- similarity measure
- formal model
- prediction model
- piece wise linear