Long-term optimal investment with a generalized drawdown constraint (Q2873137)
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scientific article; zbMATH DE number 6249469
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| English | Long-term optimal investment with a generalized drawdown constraint |
scientific article; zbMATH DE number 6249469 |
Statements
23 January 2014
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risk-sensitive portfolio optimization
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long-term optimal investment
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generalized drawdown constraint
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Azéma-Yor process
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floor constraint
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Long-term optimal investment with a generalized drawdown constraint (English)
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0.8738388419151306
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0.8408355712890625
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0.8362452983856201
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0.8344716429710388
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