Growth optimal portfolio insurance in continuous and discrete time

DOI10.1007/978-3-642-29210-1_27MaRDI QIDQ5176293zbMATH OpenOpenAlexFDO

Authors Sergey Sosnovskiy

Publication date 3 March 2015

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-29210-1_27

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• scientific article; zbMATH DE number 5059331

Cites work

• scientific article; zbMATH DE number 1006369 (Why is no real title available?)
• scientific article; zbMATH DE number 852301 (Why is no real title available?)
• Growth optimal portfolio insurance in continuous and discrete time
• MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Optimal Dynamic Trading Strategies with Risk Limits

Cited in

(3)

• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
• Growth optimal portfolio insurance in continuous and discrete time
• Best portfolio insurance for long-term investment strategies in realistic conditions

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