- Title
- On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
- Creators - without role
- 宗翰 謝 - University of Wisconsin–MadisonB. Ross Barmish - University of Wisconsin–Madison
- Publication Details
- Proceedings of the IEEE Conference on Decision and Control (CDC), pp.3075-3080
- Identifiers
- 978-1-5090-2874-0; 9957767081406774
- Academic Unit
- Department of Quantitative Finance, College of Technology Management, National Tsing Hua University
- Language
- English
- Resource Type
- Conference paper
Conference paper
On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
Proceedings of the IEEE Conference on Decision and Control (CDC), pp.3075-3080
07/2017
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