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...
| المؤلفون الرئيسيون: | , , |
|---|---|
| التنسيق: | Journal article |
| منشور في: |
Wiley
2014
|