Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Year of publication: |
2020
|
---|---|
Authors: | Biswas, Subhojit ; Jawaid, Saif ; Mukherjee, Diganta |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 15.2020, 1, p. 1-33
|
Subject: | Portfolio optimization | drawdown | stochastic volatility | local volatility | Stochastischer Prozess | Stochastic process | Experiment | Theorie | Theory | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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