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
journal contribution
posted on 2023-06-10, 00:26 authored by Mikica Drenovak, Vladimir Rankovic, Branko Urosevic, Ranko JelicRanko JelicWe 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 LettersISSN
1544-6123Publisher
ElsevierExternal DOI
Page range
1-15Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2021-07-23First Open Access (FOA) Date
2022-07-19First Compliant Deposit (FCD) Date
2021-07-23Usage metrics
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