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Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

In: Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

Author

Listed:
  • Alejandro Reveiz
  • Carlos León

Abstract

It is widely known that the Markowitz formulation of the portfolio optimization problem, based on maximizing expected return and minimizing risk, is the main pillar of the portfolio management theoretical foundations. Nevertheless, its limited impact in investment management practice is also widely recognized1, which has fostered new approaches to the portfolio optimization problem.

Suggested Citation

  • Alejandro Reveiz & Carlos León, 2010. "Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space," Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 7, pages 134-157, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-25129-8_7
    DOI: 10.1057/9780230251298_7
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    Cited by:

    1. is not listed on IDEAS
    2. Alejandro Reveiz‐Herault, 2016. "An Active Asset Management Investment Process for Drawdown‐Averse Investors," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 85-96, January.
    3. Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications, The World Bank, number 2462, September.
    4. Arjan Berkelaar & Roy Kouwenberg, 2011. "A Liability-Relative Drawdown Approach to Pension Asset Liability Management," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 14, pages 352-382, Palgrave Macmillan.
    5. Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications - Books, The World Bank Group, number 2462, April.
    6. repec:idb:brikps:365 is not listed on IDEAS

    More about this item

    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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