Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a drawdown constraint, as in the original setup of Grossman and...
| Auteurs principaux: | , |
|---|---|
| Format: | Journal article |
| Langue: | English |
| Publié: |
2011
|