Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm
Mikica Drenovak, Vladimir Ranković, Branko Urošević, Ranko Jelic
Topics & Concepts
Drawdown (hydrology)PortfolioPortfolio optimizationOptimization algorithmMathematical optimizationEvolutionary algorithmSample (material)EconometricsMathematicsComputer scienceAlgorithmEconomicsFinancial economicsGeologyChromatographyChemistryAquiferGeotechnical engineeringGroundwaterAdvanced Multi-Objective Optimization AlgorithmsFinancial Markets and Investment StrategiesCapital Investment and Risk Analysis