OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS

DOI10.1111/J.1467-9965.1993.TB00044.XzbMATH Open0884.90031OpenAlexW2046913100MaRDI QIDQ4372014FDOQ4372014

Zhongquan Zhou, Sanford J. Grossman

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00044.x

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zbMATH Keywords

stochastic controlsemimartingalesportfolio insurancedrawdownstochastic flooroptimal risky investment policy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Title not available (Why is that?)
• Title not available (Why is that?)
• Theory of constant proportion portfolio insurance

Cited In (90)

• Capital growth with security
• Stochastic modeling and fair valuation of drawdown insurance
• Rebalancing with Linear and Quadratic Costs
• Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
• Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
• Drawdown analysis for the renewal insurance risk process
• Hedge fund's dynamic leverage decisions under time-inconsistent preferences
• The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
• Portfolio insurance with liquidity risk
• Generalized expected discounted penalty function at general drawdown for Lévy risk processes
• Analysis of Kelly-optimal portfolios
• Aumann-Serrano index of risk in portfolio optimization
• MAXIMUM DRAWDOWN INSURANCE
• Pricing insurance drawdown-type contracts with underlying Lévy assets
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies
• Risk management of time varying floors for dynamic portfolio insurance
• Lifetime ruin under high-water mark fees and drift uncertainty
• PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT
• The optimal investment, liability and dividends in insurance
• Optimal investment strategies with a reallocation constraint
• Hedge and mutual funds' fees and the separation of private investments
• On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
• Analysis of a drawdown-based regime-switching Lévy insurance model
• Finite time Merton strategy under drawdown constraint: a viscosity solution approach
• Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions
• The Grossman and Zhou investment strategy is not always optimal
• Transaction costs, trading volume, and the liquidity premium
• The incentives of hedge fund fees and high-water marks
• Minimum return guarantees, investment caps, and investment flexibility
• Risk sensitive asset allocation
• Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
• Optimal portfolio management with American capital guarantee
• Multi-period portfolio selection with drawdown control
• Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
• Characterization of efficient frontier for mean-variance model with a drawdown constraint
• Minimizing the probability of lifetime drawdown under constant consumption
• Optimal lifetime consumption and investment under a drawdown constraint
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Portfolios and risk premia for the long run
• Drawdown: from practice to theory and back again
• Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
• Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model
• Effectiveness of CPPI strategies under discrete-time trading
• On minimizing drawdown risks of lifetime investments
• Optimal per-loss reinsurance and investment to minimize the probability of drawdown
• A unified approach for drawdown (drawup) of time-homogeneous Markov processes
• Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
• Long-term optimal portfolios with floor
• A note on long-term optimal portfolios under drawdown constraints
• Capital asset pricing model (CAPM) with drawdown measure
• Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
• Drawdowns and the speed of market crash
• Magnitude and speed of consecutive market crashes in a diffusion model
• On dynamic programming principle for stochastic control under expectation constraints
• THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
• Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
• Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
• Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment
• Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
• Optimal growth rate in random trade time
• Synergy effect of cooperative investment
• Optimal portfolio strategy under rolling economic maximum drawdown constraints
• On the analysis of deep drawdowns for the Lévy insurance risk model
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
• Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
• Should Commodity Investors Follow Commodities' Prices?
• A general method for analysis and valuation of drawdown risk
• Optimal reinsurance and investment problems to minimize the probability of drawdown
• The Kelly growth optimal strategy with a stop-loss rule
• Optimal filter rules for selling stocks in the emerging stock markets
• Options on constant proportion portfolio insurance with guaranteed minimum equity exposure
• Time-invariant portfolio strategies in structured products with guaranteed minimum equity exposure
• Optimal portfolio choice and consistent performance
• On the consumption/distribution theorem under the long-run growth criterion subject to a drawdown constraint
• Portfolio management under drawdown constraint in discrete-time financial markets
• Bayesian nonparametric portfolio selection with rolling maximum drawdown control
• Risk-adjusted exponential gradient strategies for online portfolio selection
• Discrete-Time Portfolio Optimization under Maximum Drawdown Constraint with Partial Information and Deep Learning Resolution
• Portfolio models for optimizing drawdown duration
• MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
• Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model
• Factor-based portfolio optimization
• Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
• DRAWDOWN MEASURES AND RETURN MOMENTS
• Growth Optimal Portfolio Insurance in Continuous and Discrete Time
• SINGULAR PERTURBATION EXPANSION FOR UTILITY MAXIMIZATION WITH ORDER-𝜖 QUADRATIC TRANSACTION COSTS
• GENERALIZED FRAMEWORK FOR APPLYING THE KELLY CRITERION TO STOCK MARKETS
• Asset management with endogenous withdrawals under a drawdown constraint
• Performance Fees with Stochastic Benchmark

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