Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454)
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| 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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