Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio (Q4579825): Difference between revisions

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+PORTFOLIO MANAGEMENT WITH CONSTRAINTS
@@ Property / cites work: PORTFOLIO MANAGEMENT WITH CONSTRAINTS / rank @@
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+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
@@ Property / cites work: DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION / rank @@
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+On minimizing drawdown risks of lifetime investments
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+Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
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+User’s guide to viscosity solutions of second order partial differential equations
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+Q4868512
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+Finite time Merton strategy under drawdown constraint: a viscosity solution approach
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+Optimal lifetime consumption and investment under a drawdown constraint
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+PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
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+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio
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+EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
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+Optimum consumption and portfolio rules in a continuous-time model
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+Continuous-time stochastic control and optimization with financial applications
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@@ Property / cites work @@
+Optimal Investment
@@ Property / cites work: Optimal Investment / rank @@
+Normal rank
@@ Property / cites work @@
+Consumption-Investment Models with Constraints
@@ Property / cites work: Consumption-Investment Models with Constraints / rank @@
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+Q129986512
@@ Property / Wikidata QID: Q129986512 / rank @@
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+Publication:4579825