OpenAlex | Characterization of efficient frontier for mean–variance model with a drawdown constraint

Characterization of efficient frontier for mean–variance model with a drawdown constraint

Work

Year: 2013

Type: article

Source: Applied Mathematics and Computation

Authors Haixiang Yao, Yongzeng Lai, Qinghua Ma, Hua-bao Zheng

Institutions Guangdong University of Foreign Studies, Wilfrid Laurier University, Jinan University

Cites: 20

Cited by: 7

Related to: 10

FWCI: 0.354

Citation percentile (by year/subfield): 76.52

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed