Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
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Publication:4579825
DOI10.1137/16M1100861zbMath1410.91406arXiv1610.08558WikidataQ129986512 ScholiaQ129986512MaRDI QIDQ4579825
Publication date: 10 August 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.08558
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (3)
Portfolio management under drawdown constraint in discrete-time financial markets ⋮ A dynamic programming approach to path-dependent constrained portfolios ⋮ Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
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