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dc.contributor.authorDrenovak, Mikica-
dc.contributor.authorRanković, Vladimir-
dc.contributor.authorUrosevic B.-
dc.contributor.authorJelic, Ratomir-
dc.description.abstractWe 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).-
dc.relation.ispartofFinance Research Letters-
dc.titleMean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm-
Appears in Collections:Faculty of Economics, Kragujevac

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