A note on long-term optimal portfolios under drawdown constraints (Q5395355): Difference between revisions
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Revision as of 23:45, 19 March 2024
scientific article; zbMATH DE number 5070463
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on long-term optimal portfolios under drawdown constraints |
scientific article; zbMATH DE number 5070463 |
Statements
A note on long-term optimal portfolios under drawdown constraints (English)
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2 November 2006
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Drawdown constraint
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risk constraint
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long-term investment
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risk-sensitive control
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Skorokhod equation
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algebraic Riccati equation
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