The PortDrawDn01.lng Model

Portfolio with a DrawDown Risk Measure

View the model
Download the model

In a sequence of periods, the drawdown of a portfolio in period t
is the difference: (highest previous portfolio value) - (current value).
One measure of portfolio risk is the sum of the k largest drawdowns, over a period of time, the K Median drawdown.
The objective in this model is:
Maximize (Ending value) - alpha*KMedianDrawDown, where alpha is a parameter that indicates one's risk tolerance.;


Portfolio | Draw down | Risk measurement |