A note on long-term optimal portfolios under drawdown constraints (Q5395355): Difference between revisions

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Latest revision as of 21:39, 24 June 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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    Identifiers

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