Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6223043
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model |
scientific article; zbMATH DE number 6223043 |
Statements
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (English)
0 references
6 November 2013
0 references
portfolio optimisation
0 references
drawdown constraint
0 references
asymptotic growth rate
0 references
Azéma-Yor processes
0 references
0 references
0.8923541903495789
0 references
0.8408355712890625
0 references
0.8284673094749451
0 references
0.8276509642601013
0 references
