Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
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 | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
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