On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important
Portfolio optimization in equities, studied by Hsieh and Barmish in 2018. The abstract mentions drawdowns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Roughly speaking, drawdown is understood to mean drops in wealth over time from peaks to subsequent lows.”
AssetEquities
StrategyPortfolio optimizationprediction markets
ClaimDrawdown
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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