Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Vladimir Cherny; Jan Obłój
| Year of publication: |
2013
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|---|---|
| Authors: | Cherny, Vladimir ; Obłój, Jan |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 4, p. 771-800
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| Subject: | portfolio optimisation | drawdown constraint | asymptotic growth rate | Azéma-Yor processes | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010190877