Minimum Ulcer Index Portfolio

Compute the asset weights of the minimum Ulcer Index portfolio, optionally subject to:

• Minimum and maximum weights constraints
• Minimum and maximum group weights constraints
• Minimum and maximum portfolio exposure constraints

References

• Peter G. Martin, Ulcer Index, An Alternative Approach to the Measurement of Investment Risk & Risk-Adjusted Performance
• A. Chekhlov, S. Uryasev, M. Zabarankin, Portfolio Optimization with Drawdown Constraints, Supply Chain and Finance, p 209-228
• A. Chekhlov, S. Uryasev, M. Zabarankin, Drawdown Measure in Portfolio Optimization, International Journal of Theoretical and Applied FinanceVol. 08, No. 01, pp. 13-58 (2005)