• Corpus ID: 201645389

A nonlinear optimisation model for constructing minimal drawdown portfolios

@article{Valle2019ANO,
  title={A nonlinear optimisation model for constructing minimal drawdown portfolios},
  author={Cristiano Arbex Valle and John E. Beasley},
  journal={arXiv: Risk Management},
  year={2019}
}
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate the problem (minimising average drawdown, maximum drawdown, or a weighted combination of the two) as a nonlinear program and show how it can be partially linearised by replacing one of the nonlinear constraints by equivalent linear constraints… 

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