Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio (Q4579825)
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scientific article; zbMATH DE number 6915800
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio |
scientific article; zbMATH DE number 6915800 |
Statements
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio (English)
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10 August 2018
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portfolio optimization
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drawdown
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stochastic volatility
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