arXiv: Portfolio Management

Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution

Pub Date : 2020-10-29 DOI: 10.13140/RG.2.2.21502.61766 C. Franco, Johann Nicolle, H. Pham

Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis

Pub Date : 2020-10-26 DOI: 10.26233/heallink.tuc.76532 A. Georgantas

Which portfolio is better? A discussion of several possible comparison criteria

Pub Date : 2018-05-16 DOI: 10.2139/SSRN.3179577 H. Gzyl, Alfredo J. Ríos