WebRather than return standard deviation, a portfolio risk measure called Rolling Economic Drawdown (REDD) is invented. Considering current and historical risk free interest rates, REDD represents the maximum economic opportunity loss within a rolling time window of fixed or variable look-back length. The pre-determined limit for REDD can be ... WebRather than return standard deviation, a portfolio risk measure called Rolling Economic Drawdown (REDD) is invented. Considering current and historical risk free interest rates, REDD represents the maximum economic opportunity loss within a rolling time window of fixed or variable look-back length. The pre-determined limit for REDD can be ...

Optimal Portfolio Strategy to Control Maximum Drawdown

WebPortfolio selection with drawdown constraint on consumption: a generalization model Mathematical Methods of Operations Research 10.1007/s00186-020-00734-6 WebMay 10, 2013 · Towards optimal portfolio strategy to control maximum drawdown The case of risk based dynamic asset allocation, China Finance Review International … libyan american alliance

Drawdown Determined Position Size R-bloggers

WebSince drawdown suffers from a significant lag, the authors suggest a rolling drawdown to offset some of the embedded lag: “Intuitively, a drawdown look-back period H [length of rolling period] somewhat shorter than or similar to the market decline cycle is the key to achieve optimality. WebOriginality/value - The paper introduces the Rolling Economic Drawdown (REDD) concept and specifies risk aversion as the floor of maximum percentage loss tolerance. Dynamic … WebThis study investigates a new asset allocation technique termed Factor Adjusted Rolling Economic Drawdown (FAREDD), whereby resources are allocated to different assets by … libyan air force roundel color code