Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

Número: 
520
Publicado: 
Clasificación JEL: 
G11, G23, G32, D81
Palabras clave: 
Efficient Portfolio Optimization in the Wealth Creation

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First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of