Please use this identifier to cite or link to this item: https://scidar.kg.ac.rs/handle/123456789/13492
Title: Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm
Authors: Drenovak, Mikica
Ranković, Vladimir
Urosevic B.
Jelic, Ratomir
Journal: Finance Research Letters
Issue Date: 1-Jan-2021
Abstract: We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown trade-offs compared to relevant benchmarks, regardless of the selected subsamples and market conditions. The superior performance of our approach is particularly pronounced in periods with reversing market trends (i.e. a market rally and a fall in the same subsample).
URI: https://scidar.kg.ac.rs/handle/123456789/13492
Type: Article
DOI: 10.1016/j.frl.2021.102328
ISSN: 15446123
SCOPUS: 85113179655
Appears in Collections:Faculty of Economics, Kragujevac
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