THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
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Publication:2968274
DOI10.1111/mafi.12081zbMath1414.91344arXiv1206.2305OpenAlexW2157453007MaRDI QIDQ2968274
Constantinos Kardaras, Eckhard Platen, Jan Obłój
Publication date: 13 March 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.2305
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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On future drawdowns of Lévy processes ⋮ Minimizing the probability of lifetime drawdown under constant consumption ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Drawdown and drawup for fractional Brownian motion with trend
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