The PortDrawDnR.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)/ KMedianDrawDown.;

Keywords:

Portfolio | Fractional programming | Hyperbolic programming | Ratio objective | Draw down | Risk measurement |