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- 2019
-
Mark
Multi-period portfolio selection with drawdown control
Nystrup, Peter ; Boyd, Stephen ; Lindström, Erik LU
and Madsen, Henrik
(2019)
In Annals of Operations Research
282(1-2).
p.245-271
- Contribution to journal › Article
- 2016
-
Mark
Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation
Nystrup, Peter ; Hansson, Bo William ; Madsen, Henrik and Lindström, Erik LU
(2016)
In Journal of Asset Management
17(5).
p.361-374
- Contribution to journal › Article