Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
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Publication:4579825
DOI10.1137/16M1100861zbMath1410.91406arXiv1610.08558MaRDI QIDQ4579825
Publication date: 10 August 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.08558
91G60: Numerical methods (including Monte Carlo methods)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
Related Items
Portfolio management under drawdown constraint in discrete-time financial markets, A dynamic programming approach to path-dependent constrained portfolios, Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle
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