Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

DOI10.1007/s00780-013-0209-4zbMath1279.91144arXiv1110.6289MaRDI QIDQ377454

Vladimir Cherny, Jan Obłój

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.6289

zbMATH Keywords

asymptotic growth rate; Azéma-Yor processes; drawdown constraint; portfolio optimisation

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

60G17: Sample path properties

91G10: Portfolio theory

Related Items

Drawdown analysis for the renewal insurance risk process, Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio, A unified approach for drawdown (drawup) of time-homogeneous Markov processes, Asset management with endogenous withdrawals under a drawdown constraint, Portfolio management under drawdown constraint in discrete-time financial markets, A general method for analysis and valuation of drawdown risk, On minimizing drawdown risks of lifetime investments, Drawdown: from practice to theory and back again, Timing portfolio strategies with exponential Lévy processes, Analysis of a drawdown-based regime-switching Lévy insurance model, Generalized expected discounted penalty function at general drawdown for Lévy risk processes, Drawdown and drawup for fractional Brownian motion with trend, On future drawdowns of Lévy processes, The Parisian and ultimate drawdowns of Lévy insurance models, THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS, THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS

Cites Work

• Unnamed Item
• Unnamed Item
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
• Optimal lifetime consumption and investment under a drawdown constraint
• Turnpike behavior of long-term investments
• A general version of the fundamental theorem of asset pricing
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Finite time Merton strategy under drawdown constraint: a viscosity solution approach
• Portfolios and risk premia for the long run
• The numéraire portfolio in semimartingale financial models
• A benchmark approach to quantitative finance
• The Grossman and Zhou investment strategy is not always optimal
• Risk-Sensitive Control and an Optimal Investment Model
• THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS
• No Arbitrage and the Growth Optimal Portfolio
• Portfolio sensitivity to changes in the maximum and the maximum drawdown
• Stochastic Portfolio Theory: an Overview
• Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• On the maximum drawdown of a Brownian motion
• Processes of Class Sigma, Last Passage Times, and Drawdowns
• A note on long-term optimal portfolios under drawdown constraints