The Grossman and Zhou investment strategy is not always optimal
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Publication:2567182
DOI10.1016/J.SPL.2005.04.060zbMath1102.91050OpenAlexW2061399474MaRDI QIDQ2567182
Krzysztof Nowicki, Michael J. Klass
Publication date: 29 September 2005
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2005.04.060
Related Items (4)
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ On minimizing drawdown risks of lifetime investments ⋮ ON THE CONSUMPTION/DISTRIBUTION THEOREM UNDER THE LONG-RUN GROWTH CRITERION SUBJECT TO A DRAWDOWN CONSTRAINT ⋮ Optimal lifetime consumption and investment under a drawdown constraint
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