The numéraire property and long‐term growth optimality for drawdown‐constrained investments

The numéraire property and long‐term growth optimality for drawdown‐constrained investments

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<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...

書誌詳細
主要な著者:	Kardaras, C, Obloj, J, Platen, E
フォーマット:	Journal article
出版事項:	Wiley 2014

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