The PortDrawDn01.lng Model

Portfolio with a DrawDown Risk Measure

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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.;

Keywords:

Portfolio | Draw down | Risk measurement |