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...
Main Authors: | Cherny, V, Obloj, J |
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Format: | Journal article |
Published: |
2016
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