The numéraire property and long‐term growth optimality for drawdown‐constrained investments
<p style="text-align:justify;"> We consider the portfolio choice problem for a long‐run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude toward risk, encoded by a linear d...
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| Format: | Journal article |
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Wiley
2014
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| _version_ | 1797106758855950336 |
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| author | Kardaras, C Obloj, J Platen, E |
| author_facet | Kardaras, C Obloj, J Platen, E |
| author_sort | Kardaras, C |
| collection | OXFORD |
| description | <p style="text-align:justify;"> We consider the portfolio choice problem for a long‐run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude toward risk, encoded by a linear drawdown constraint imposed on admissible wealth processes. We define the constrained numéraire property through the notion of expected relative return and prove that drawdown‐constrained numéraire portfolio exists and is unique, but may depend on the investment horizon. However, when sampled at the times of its maximum and asymptotically as the time‐horizon becomes distant, the drawdown‐constrained numéraire portfolio is given explicitly through a model‐independent transformation of the unconstrained numéraire portfolio. The asymptotically growth‐optimal strategy is obtained as limit of numéraire strategies on finite horizons. </p> |
| first_indexed | 2024-03-07T07:07:04Z |
| format | Journal article |
| id | oxford-uuid:fc705048-6e8e-4713-bfcc-0e9edba264d0 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T07:07:04Z |
| publishDate | 2014 |
| publisher | Wiley |
| record_format | dspace |
| spelling | oxford-uuid:fc705048-6e8e-4713-bfcc-0e9edba264d02022-05-10T13:03:28ZThe numéraire property and long‐term growth optimality for drawdown‐constrained investmentsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:fc705048-6e8e-4713-bfcc-0e9edba264d0Symplectic Elements at OxfordWiley2014Kardaras, CObloj, JPlaten, E <p style="text-align:justify;"> We consider the portfolio choice problem for a long‐run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude toward risk, encoded by a linear drawdown constraint imposed on admissible wealth processes. We define the constrained numéraire property through the notion of expected relative return and prove that drawdown‐constrained numéraire portfolio exists and is unique, but may depend on the investment horizon. However, when sampled at the times of its maximum and asymptotically as the time‐horizon becomes distant, the drawdown‐constrained numéraire portfolio is given explicitly through a model‐independent transformation of the unconstrained numéraire portfolio. The asymptotically growth‐optimal strategy is obtained as limit of numéraire strategies on finite horizons. </p> |
| spellingShingle | Kardaras, C Obloj, J Platen, E The numéraire property and long‐term growth optimality for drawdown‐constrained investments |
| title | The numéraire property and long‐term growth optimality for drawdown‐constrained investments |
| title_full | The numéraire property and long‐term growth optimality for drawdown‐constrained investments |
| title_fullStr | The numéraire property and long‐term growth optimality for drawdown‐constrained investments |
| title_full_unstemmed | The numéraire property and long‐term growth optimality for drawdown‐constrained investments |
| title_short | The numéraire property and long‐term growth optimality for drawdown‐constrained investments |
| title_sort | numeraire property and long term growth optimality for drawdown constrained investments |
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