# Case Study: Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths

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Case study background and problem formulations

Instructions for optimization with PSG Run-File, PSG MATLAB Toolbox, PSG MATLAB Subroutines and PSG R.

PROBLEM 1: problem_cdar_dev_multiple

Maximize Linear (maximizing average annualized portfolio return)
subject to
Cdarmulti_dev ≤ Const (constraint on CDaR Deviation Multiple (for multiple paths))
Box constraints (lower and upper bounds on weights)
——————————————————————–
Cdarmulti_dev = CDaR Deviation Multiple
Box constraints = constraints on individual decision variables

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Dataset1 30 12,925 0.240832 0.18 # of Variables # of Scenarios Objective Value Solving Time, PC 3.14GHz (sec) Environments Run-File Problem Statement Data Solution Matlab Toolbox Data Matlab Subroutines Matlab Code Data R R Code Data
Instructions for importing problems from Run-File to PSG MATLAB.
Problem Datasets # of Variables # of Scenarios Objective Value Solving Time, PC 2.66GHz (sec)
Dataset2 Problem Statement Data Solution 18 211,618 0.182599 11.52

PROBLEM 2: problem_cdar_dev_single

Maximize Linear (maximizing average annualized portfolio return)
subject to
Cdar_dev ≤ Const (constraint on CDaR Deviation (for united single path))
Box constraints (lower and upper bounds on weights)
——————————————————————–
Cdar_dev = CDaR Deviation
Box constraints = constraints on individual decision variables

——————————————————————–

Dataset1 30 12,925 0.228868 0.12 # of Variables # of Scenarios Objective Value Solving Time, PC 3.14GHz (sec) Environments Run-File Problem Statement Data Solution Matlab Toolbox Data Matlab Subroutines Matlab Code Data R R Code Data