Tuesday, February 12th @ 11:00-12:30 PM (1011 Evans Hall)
Computation of Optimal Conditional Expected Drawdown Portfolios
Alex Papanicolaou, Intelligent Financial Machines
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.