On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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The focal point of this paper is the issue of "drawdown" which arises in recursive betting scenarios and related applications in the stock market. Roughly speaking, drawdown is understood to mean drops in wealth over time from peaks to subsequent lows. Motivated by the fact that this issue is of paramount concern to conservative investors, we dispe...
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On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
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TN_cdi_proquest_journals_2071283379
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2071283379
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E-ISSN
2331-8422
DOI
10.48550/arxiv.1710.01501
