Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454): Difference between revisions
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G17 / rank | |||
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| Property / zbMATH DE Number: 6223043 / rank | |||
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portfolio optimisation | |||
| Property / zbMATH Keywords: portfolio optimisation / rank | |||
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drawdown constraint | |||
| Property / zbMATH Keywords: drawdown constraint / rank | |||
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asymptotic growth rate | |||
| Property / zbMATH Keywords: asymptotic growth rate / rank | |||
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Azéma-Yor processes | |||
| Property / zbMATH Keywords: Azéma-Yor processes / rank | |||
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Revision as of 11:54, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model |
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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (English)
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6 November 2013
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portfolio optimisation
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drawdown constraint
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asymptotic growth rate
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Azéma-Yor processes
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