Research Article
Optimal Portfolio Strategy under Rolling Economic Maximum Drawdown Constraints
Table 4
Performance test of two-risky-asset simulation case.
| | | Max REDD | Maximum drawdown | Annualized return | Annualized return S.E. | Sharpe ratio | Final wealth |
| | ) | −2.536% | −12.074% | 1.679% | −0.320% | 0.259 | 1.653 | | value | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| | () | −0.010% | −1.562% | 0.894% | 1.121% | 0.107 | 0.899 | |
value | 0.838 | 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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