Characterization of efficient frontier for mean-variance model with a drawdown constraint (Q902570): Difference between revisions

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+The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
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+On admissible efficient portfolio selection policy
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+Mean-variance portfolio optimal problem under concave transaction cost
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+A cutting plane algorithm for MV portfolio selection model
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+Use of stochastic and mathematical programming in portfolio theory and practice
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+OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
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+Optimal lifetime consumption and investment under a drawdown constraint
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+Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
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+DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
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+Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments
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