Efficient portfolio optimization in the wealth creation and maximum drawdown space

A. Reveiz, C. León

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

2 Citations (Scopus)

Abstract

It is widely known that the Markowitz formulation of the portfolio optimization problem, based on maximizing expected return and minimizing risk, is the main pillar of the portfolio management theoretical foundations. Nevertheless, its limited impact in investment management practice is also widely recognized1, which has fostered new approaches to the portfolio optimization problem.
Original languageEnglish
Title of host publicationInterest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
EditorsArjan B. Berkelaar, Joachim Coche, Ken Nyholm
Place of PublicationLondon
PublisherPalgrave Macmillan
Pages134-157
DOIs
Publication statusPublished - 2009
Externally publishedYes

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