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Portfolio selection with a drawdown constraint
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DOI：10.1016/j.jbankfin.2005.12.006.png)
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When identifying optimal portfolios, practitioners often impose a drawdown constraint. This constraint is even explicit in some money management contracts such as the one recently involving Merrill Lynch' management of Unilever's pension fund. In this setting, we provide a characterization of optimal portfolios using mean-variance analysis. In the absence of a benchmark, we find that while the constraint typically decreases the optimal portfolio's standard deviation, the constrained optimal portfolio can be notably mean-variance inefficient. In the presence of a benchmark such as in the Merrill Lynch-Unilever contract, we find that the constraint increases the optimal portfolio's standard deviation and tracking error volatility. Thus, the constraint negatively affects a portfolio manager's ability to track a benchmark. (c) 2006 Elsevier B.V. All rights reserved.
Keyword:
portfolio selection
maximum drawdown
risk management
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
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