@techreport{20.500.12134/5537,
author = {Reveiz-Herault, Alejandro},
author = {León-Rincón, Carlos Eduardo},
year = {2008},
month = {6},
url = {https://repositorio.banrep.gov.co/handle/20.500.12134/5537},
abstract = {First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of},
publisher = {Banco de la República},
booktitle = {Borradores de Economía},
volume = {Borradores de Economía; No. 520},
title = {Efficient portfolio optimization in the wealth creation and maximum drawdown space},
keywords = {Portfolio optimization},
keywords = {Asset allocation},
keywords = {Downside risk},
keywords = {Maximum drawdown},
keywords = {Mean-variance Criteria},
keywords = {Diversification},
doi = {https://doi.org/10.32468/be.520},
}