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Alex Papanicolaou, Intelligent Financial Machines: Computation of Optimal Conditional Expected Drawdown Portfolios
February 12 @ 11:00 am - 12:30 pm
We introduce two approaches to computing and minimizing the risk measure Conditional Expected Drawdown (CED) of Goldberg and Mahmoud (2016). One approach is based on a continuous-time formulation yielding a partial differential equation (PDE) solution to computing and minimizing CED while another is a sampling based approach utilizing a linear program (LP) for minimizing CED.