Liang Zhong

University of Delaware

Ph.D. in Economics Candidate

Newark, DE 19711

United States

SCHOLARLY PAPERS

1

DOWNLOADS
Rank 16,260

SSRN RANKINGS

Top 16,260

in Total Papers Downloads

3,178

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Z. George Yang and Liang Zhong
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 3,178 (3,641)
Citation 1

Abstract:

Loading...

portfolio optimization, risk control, drawdown loss, dynamic asset allocation, discrete trading, efficient frontier, rolling economic drawdown, leverage, risk aversion, power utility function, capital market expectation, Sharpe ratio, volatility, out-of-sample test