OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (Q4372014): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00044.x / rank | |||
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| Property / cites work: Theory of constant proportion portfolio insurance / rank | |||
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| Property / cites work: Q3808989 / rank | |||
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| Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank | |||
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| Property / cites work: Q3996259 / rank | |||
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Latest revision as of 10:15, 28 May 2024
scientific article; zbMATH DE number 1106700
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS |
scientific article; zbMATH DE number 1106700 |
Statements
OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (English)
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21 January 1998
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drawdown
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portfolio insurance
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semimartingales
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stochastic control
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optimal risky investment policy
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stochastic floor
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