University of Sussex
Browse
b_Elements_MDD_accepted_FRL_19_07_21.pdf (1.24 MB)

Mean-maximum drawdown optimization of buy-and-hold portfolios using a multi-objective evolutionary algorithm

Download (1.24 MB)
journal contribution
posted on 2023-06-10, 00:26 authored by Mikica Drenovak, Vladimir Rankovic, Branko Urosevic, Ranko JelicRanko Jelic
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).

History

Publication status

  • Published

File Version

  • Accepted version

Journal

Finance Research Letters

ISSN

1544-6123

Publisher

Elsevier

Page range

1-15

Department affiliated with

  • Accounting and Finance Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2021-07-23

First Open Access (FOA) Date

2022-07-19

First Compliant Deposit (FCD) Date

2021-07-23

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC