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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| Médium: | Journal article |
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Wiley
2014
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