PAveDD:
Portfolio optimisation with average draw down constraint
Description
This function returns the result of a long-only portfolio optimization
whereby the portfolio's (historic) average draw down is constrained to
an upper limit.
Numeric, the upper bound of the average portfolio draw
down.
softBudget
Logical, whether the budget constraint shall be
implemented as a soft constraint, i.e. the sum of the weights
can be less than one. The default is to use an equality constraint.
...
Arguments are passed down to Rglpk_solve_LP
Value
An object of formal class "PortAdd".
Details
This function implements a long-only portfolio optimisation with an
average draw down constraint (see references below). The problem can
be stated in the form of a linear program and GLPK is used as solver.
References
Chekhlov, A. and Uryasev, S. and Zabarankin, M., Portfolio
Optimization with Drawdown Constraints, Department of Industrial and
Systems Engineering, University of Florida, Research Report
2000-5, 2000, Gainesville, FL.
Chekhlov, A. and Uryasev, S. and Zabarankin, M., Drawdown Measure in
Portfolio Optimization, International Journal of Theoretical and
Applied Finance, 2005, 8(1), 13--58.