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...
| Main Authors: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado: |
2011
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