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| Titel: |
Dynamic allocation strategies for absolute and relative loss control |
| Auteur: |
Mantilla-García, Daniel |
| Verschenen in: |
Algorithmic finance |
| Paginering: | Jaargang 3 (2014) nr. 3-4 pagina's 209-231 |
| Jaar: |
2014-12-05 |
| Inhoud: |
The maximum drawdown control strategy dynamically allocates wealth between cash and a risky portfolio, keeping losses below a chosen pre-defined level. This paper introduces variations of the strategy, namely the excess drawdown and the relative drawdown control strategies. The excess drawdown control is a more flexible strategy that can cope with common (re)allocation restrictions such as lock-up periods, cash bans or liquidity constraints through an implementation with a hedging overlay. The relative drawdown control strategy is adapted to contexts in which investors seek to limit benchmark underperformance instead of absolute losses. A formal proof that the loss-control objectives introduced can be insured using dynamic allocation is provided and the potential benefits and implementation aspects of the strategies are illustrated with examples. |
| Uitgever: |
IOS Press |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 7 van 16 gevonden artikelen
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