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Publications by Peter Nystrup

Multi-Period Portfolio Selection With Drawdown Control

Annals of Operations Research

Management Science

Decision Sciences

Operations Research

English

Dynamic Portfolio Optimization Across Hidden Market Regimes

Quantitative Finance

English

Related publications

Multi Objective Project Portfolio Selection

Journal of Project Management

English

Multi-Period Mean-Variance Portfolio Optimization With Markov Switching Parameters

Sba: Controle & Automação Sociedade Brasileira de Automatica

English

Portfolio Selection With Heavy Tails

Journal of Empirical Finance

English

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

English

A Systematic Approach to Multi-Period Stress Testing of Portfolio Credit Risk

Journal of Banking and Finance

English

Portfolio Selection Models

Advances in Finance, Accounting, and Economics

English

Stochastic Portfolio Selection Problem With Reliability Criteria

Discrete Dynamics in Nature and Society

English

Multi-Period Evacuation Shelter Selection Considering Dynamic Hazards Assessment

Indonesian Journal of Computing, Engineering and Design (IJoCED)

English

A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures

English