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

Drenovak, Mikica, Rankovic, Vladimir, Urosevic, Branko and Jelic, Ranko (2021) Mean-maximum drawdown optimization of buy-and-hold portfolios using a multi-objective evolutionary algorithm. Finance Research Letters. pp. 1-15. ISSN 1544-6123

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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).

Item Type: Article
Schools and Departments: University of Sussex Business School > Accounting and Finance
SWORD Depositor: Mx Elements Account
Depositing User: Mx Elements Account
Date Deposited: 23 Jul 2021 15:05
Last Modified: 23 Jul 2021 15:15
URI: http://sro.sussex.ac.uk/id/eprint/100714

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