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Type	Master's Thesis
Scope	Discipline-based scholarship
Title	On Minimum Drawdown Portfolios
Organization Unit	Financial Engineering (Markus Leippold)
Authors	Alejandro Angeli
Supervisors	Patrick Walker Markus Leippold
Language	English
Institution	University of Zurich
Faculty	Faculty of Business, Economics and Informatics
Date	2020
Abstract Text	Portfolio drawdowns are deﬁned informally as the loss with re-spect to the most recent peak. In this book we study the optimiz-ation of portfolios for drawdown risk. We optimize portfolios non-parametrically via linear programs and via general numerical optim-ization for bootstrap samples to achieve robust portfolios. Theoretic-ally, we establish the foundation of a parameteric model to optimize for drawdown risk for geometric Brownian motions.
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