OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (Q4372014)
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scientific article; zbMATH DE number 1106700
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| English | OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS |
scientific article; zbMATH DE number 1106700 |
Statements
OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (English)
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21 January 1998
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drawdown
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portfolio insurance
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semimartingales
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stochastic control
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optimal risky investment policy
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stochastic floor
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0.8245310187339783
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0.8217725157737732
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0.8106644749641418
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0.8089484572410583
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