Efficient portfolio optimization in the wealth creation and maximum drawdown space

A. Reveiz; C. León

doi:10.1057/9780230251298

Efficient portfolio optimization in the wealth creation and maximum drawdown space

A. Reveiz, C. León

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Scientific › peer-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 language	English
Title of host publication	Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
Editors	Arjan B. Berkelaar, Joachim Coche, Ken Nyholm
Place of Publication	London
Publisher	Palgrave Macmillan
Pages	134-157
DOIs	https://doi.org/10.1057/9780230251298
Publication status	Published - 2009
Externally published	Yes

Access to Document

10.1057/9780230251298

Cite this

@inbook{845dcac7051547b1b1b2f4416e1f15dd,

title = "Efficient portfolio optimization in the wealth creation and maximum drawdown space",

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.",

author = "A. Reveiz and C. Le{\'o}n",

year = "2009",

doi = "10.1057/9780230251298",

language = "English",

publisher = "Palgrave Macmillan",

pages = "134--157",

editor = "Berkelaar, {Arjan B.} and Joachim Coche and Ken Nyholm",

booktitle = "Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds",

address = "United Kingdom",

}

Efficient portfolio optimization in the wealth creation and maximum drawdown space. / Reveiz, A.; León, C.
Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds. ed. / Arjan B. Berkelaar; Joachim Coche; Ken Nyholm. London: Palgrave Macmillan, 2009. p. 134-157.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Scientific › peer-review

TY - CHAP

T1 - Efficient portfolio optimization in the wealth creation and maximum drawdown space

AU - Reveiz, A.

AU - León, C.

PY - 2009

Y1 - 2009

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-84961606067&partnerID=MN8TOARS

U2 - 10.1057/9780230251298

DO - 10.1057/9780230251298

M3 - Chapter

SP - 134

EP - 157

BT - Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

A2 - Berkelaar, Arjan B.

A2 - Coche, Joachim

A2 - Nyholm, Ken

PB - Palgrave Macmillan

CY - London

ER -

Efficient portfolio optimization in the wealth creation and maximum drawdown space

Abstract

Access to Document

Other files and links

Fingerprint

Cite this