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"On inefficiency of markowitz-style investment strategies when drawdown is ..."

Chung-Han Hsieh, B. Ross Barmish (2017)

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DOI: 10.1109/CDC.2017.8264108

access: closed

type: Conference or Workshop Paper

metadata version: 2018-11-02

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  dblp key:
  - conf/cdc/HsiehB17
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Chung-Han Hsieh, B. Ross Barmish:
On inefficiency of markowitz-style investment strategies when drawdown is important. CDC 2017: 3075-3080

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