Long-Term Optimal Investment with a Generalized Drawdown Constraint (Q2873137): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Long-Term Optimal Investment with a Generalized Drawdown Constraint |
scientific article |
Statements
Long-Term Optimal Investment with a Generalized Drawdown Constraint (English)
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23 January 2014
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risk-sensitive portfolio optimization
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long-term optimal investment
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generalized drawdown constraint
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Azéma-Yor process
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floor constraint
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