Optimal portfolios of a long-term investor with floor or drawdown constraints

We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint which requires the wealth process to dominate a given benchm...

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Bibliographic Details
Main Authors: Cherny, V, Obloj, J
Format: Journal article
Published: 2016