Tractable Robust Drawdown Management
19 Pages Posted: 8 Sep 2016 Last revised: 21 Sep 2016
Date Written: September 6, 2016
Abstract
This paper studies the prior-free allocation framework of Chassang (2016) in continuous time, and proposes a simple analytical approximation of the optimal solution. Numerical analysis based on actual and simulated data demonstrates the robustness of the proxy strategy. The result of the paper makes the Chassang (2016) approach easily implementable for practical drawdown management.
Keywords: Maximum Drawdown, Robust Optimization, Prior Free, Dynamic Allocation, Risk Management
JEL Classification: C60, D81, G11
Suggested Citation: Suggested Citation
Medvedev, Alexey, Tractable Robust Drawdown Management (September 6, 2016). Available at SSRN: https://ssrn.com/abstract=2835569 or http://dx.doi.org/10.2139/ssrn.2835569
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