On portfolio optimisation under drawdown and floor type constraints
<p>This work is devoted to portfolio optimisation problem arising in the context of constrained optimisation. Despite the classical convex constraints imposed on proportion of wealth invested in the stock this work deals with the pathwise constraints. The drawdown constraint requires an invest...
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| Format: | Praca dyplomowa |
| Język: | English |
| Wydane: |
2012
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