Table of Contents Author Guidelines Submit a Manuscript
Mathematical Problems in Engineering
Volume 2014, Article ID 787943, 11 pages
http://dx.doi.org/10.1155/2014/787943
Research Article

Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints

1School of Economics and Commerce, South China University of Technology, Guangzhou 510006, China
2School of Electronic and Information Engineering, South China University of Technology, Guangzhou 510641, China
3School of Business Administration, South China University of Technology, Guangzhou 510641, China

Received 27 February 2014; Revised 18 June 2014; Accepted 19 June 2014; Published 10 July 2014

Academic Editor: Pankaj Gupta

Copyright © 2014 Xiaojian Yu et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Linked References

  1. S. Grossman and Z. Zhou, “Optimal investment strategies for controlling draw-downs,” Mathematical Finance, vol. 3, no. 3, pp. 241–276, 1993. View at Google Scholar
  2. A. Chekhlov, S. Uryasev, and M. Zabarankin, “Drawdown measure in portfolio optimization,” International Journal of Theoretical and Applied Finance, vol. 8, no. 1, pp. 13–58, 2005. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet · View at Scopus
  3. H. Markowitz, “Portfolio selection,” Journal of Finance, vol. 7, no. 1, pp. 77–91, 1952. View at Google Scholar
  4. D. B. Brown and J. E. Smith, “Dynamic portfolio optimization with transaction costs: heuristics and dual bounds,” Management Science, vol. 57, no. 10, pp. 1752–1770, 2011. View at Publisher · View at Google Scholar · View at Scopus
  5. L. Zhang and Z. Li, “Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated,” Mathematical Problems in Engineering, vol. 2012, Article ID 216891, 17 pages, 2012. View at Publisher · View at Google Scholar · View at MathSciNet
  6. H. Guo, B. Sun, H. R. Karimi, Y. Ge, and W. Jin, “Fuzzy investment portfolio selection models based on interval analysis approach,” Mathematical Problems in Engineering, vol. 2012, Article ID 628295, 15 pages, 2012. View at Publisher · View at Google Scholar · View at MathSciNet
  7. F. J. DiTraglia and J. R. Gerlach, “Portfolio selection: an extreme value approach,” Journal of Banking and Finance, vol. 37, no. 2, pp. 305–323, 2013. View at Publisher · View at Google Scholar · View at Scopus
  8. J. Cvitanic and I. Karatzas, “On portfolio optimization under drawdown constraints,” IMA Lecture Notes in Mathematics and Applications, vol. 65, pp. 77–88, 1995. View at Google Scholar
  9. J. Sekine, “A note on long-term optimal portfolios under drawdown constraints,” Advances in Applied Probability, vol. 38, no. 3, pp. 673–692, 2006. View at Publisher · View at Google Scholar · View at MathSciNet · View at Scopus
  10. H. Nagai, “Optimal strategies for risk-sensitive portfolio optimization problems for general factor models,” SIAM Journal on Control and Optimization, vol. 41, no. 6, pp. 1779–1800, 2003. View at Publisher · View at Google Scholar · View at MathSciNet · View at Scopus
  11. H. Kaise and S. J. Sheu, “Risk sensitive optimal investment: solutions of the dynamical programming equation,” Contemporary Mathematics, vol. 351, pp. 217–230, 2004. View at Google Scholar
  12. L. Pospisil and J. Vecer, “Portfolio sensitivity to changes in the maximum and the maximum drawdown,” Quantitative Finance, vol. 10, no. 6, pp. 617–627, 2010. View at Publisher · View at Google Scholar · View at Zentralblatt MATH · View at MathSciNet · View at Scopus
  13. Z. Yang and L. Zhong, “Towards optimal portfolio strategy to control maximum drawdown: the case of risk based dynamic asset allocation,” China Finance Review International, vol. 3, no. 2, pp. 131–163, 2013. View at Publisher · View at Google Scholar