Pavlo A. Krokhmal

University of Florida - Department of Industrial and Systems Engineering

303 Weil Hall

Gainesville, FL 32611-6595

United States

  • University of Florida - Department of Industrial and Systems Engineering

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Comparative Analysis of Linear Portfolio Rebalancing Strategies: An Application to Hedge Funds

U of Florida ISE Research Report No. 2001-11
Number of pages: 36 Posted: 22 Jan 2002
Pavlo A. Krokhmal, Stanislav P. Uryasev and Grigory M. Zrazhevsky
University of Florida - Department of Industrial and Systems Engineering, University of Florida and University of Florida - Department of Industrial and Systems Engineering
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Hedge funds, linear portfolio rebalancing strategies, risk management, conditional value-at-risk, conditional drawdown-at-risk, mean absolute deviation, maximum loss, market neutrality, in-sample testing, out-of-sample testing