Work

Portfolio selection with a drawdown constraint

Year: 2006

Type: article

Source: Journal of Banking & Finance

DOI: 10.1016/j.jbankfin.2005.12.006

Authors: Gordon J. Alexander, Alexandre M. Baptista

Institutions: University of Minnesota, George Washington University

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2129482899

FWCI: 2.901

Cites: 21

Cited by: 65

Related to: 10