Research Article
Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints
Table 2
Performance test of single risky asset simulation case.
| | | Max REDD | Maximum drawdown | Annualized return | Annualized return S.E. | Sharpe ratio | Final wealth |
| | ) | −2.603% | −2.830% | 1.111% | −0.392% | 0.230 | 2.130 | | value | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| | () | −2.061% | −4.565% | 0.473% | −0.555% | 0.178 | 0.440 | | value | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
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Note: the null hypothesis is as follows: the performance of REDP strategy is the same as YZ strategy and RS strategy.
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