Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2111302854 / rank | |||
Normal rank | |||
Revision as of 00:00, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model |
scientific article |
Statements
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (English)
0 references
6 November 2013
0 references
portfolio optimisation
0 references
drawdown constraint
0 references
asymptotic growth rate
0 references
Azéma-Yor processes
0 references
