Optimal portfolio strategy under rolling economic drawdown constraints with lower semi-variance

YU Xiaojian, WANG Xiuhua, XU Weijun

Systems Engineering - Theory & Practice ›› 2018, Vol. 38 ›› Issue (3) : 545-555.

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Systems Engineering - Theory & Practice ›› 2018, Vol. 38 ›› Issue (3) : 545-555. DOI: 10.12011/1000-6788(2018)03-0545-11

Optimal portfolio strategy under rolling economic drawdown constraints with lower semi-variance

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2018, 38(3): 545-555 https://doi.org/10.12011/1000-6788(2018)03-0545-11

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