This caught my eye as I searched for some more academic research on my favorite risk measure drawdown. Yang, Z. George and Zhong, Liang,Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation (February ...
Thank so much to Patrick Burns’ post Variability in maximum drawdown. He starts with “Maximum drawdown is blazingly variable,” which I say is why money management is so blazingly difficult. After spending a lot of time thinking about ...
After reading Strub, Issam S., Trade Sizing Techniques for Drawdown and Tail Risk Control (May 21, 2012), I thought I should try to tie this with 2 other good R pieces on Conditional Drawdown: http://systematicinvestor.wordpress.com/2011/11/01/minimiz...
In Efficient Frontier of Funds and Allocation Systems, I had hoped to start exploring how a frontier can potentially be created with only one asset, or how an even more efficient frontier could be created with assets and also systems on those assets.&n...
In all my system development, I still have not been able to determine what universal underlying conditions significantly improve a system’s chances of outperforming buy-and-hold. Also, I have found very little discussion, so maybe R with some h...
I've shown several examples of how to use LSPM's probDrawdown function as a constraint when optimizing a leverage space portfolio. Those posts implicitly assume the probDrawdown function produces an accurate estimate of actual drawdo...
Zero Inflated Models and Generalized Linear Mixed Models with R.
Zuur, Saveliev, Ieno (2012).
