Portfolio management under drawdown constraint in discrete-time financial markets
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Cites work
- A characterization of the optimal certainty equivalent of the average cost via the Arrow-Pratt sensitivity function
- A free-model characterization of the asymptotic certainty equivalent by the Arrow-Pratt index
- A large deviations approach to optimal long term investment
- A note on long-term optimal portfolios under drawdown constraints
- A risk-sensitive control dual approach to a large deviations control problem
- Average optimality for risk-sensitive control with general state space
- Average Optimality in Dynamic Programming with General State Space
- Contraction mappings and extensions
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Growth rates and average optimality in risk-sensitive Markov decision chains
- scientific article; zbMATH DE number 3886197 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 852301 (Why is no real title available?)
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- Long-term optimal investment with a generalized drawdown constraint
- Markov decision processes with applications to finance.
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Optimal lifetime consumption and investment under a drawdown constraint
- Optimal Plans for Dynamic Programming Problems
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
- Risk sensitive control of Markov processes in countable state space
- Risk-sensitive dynamic asset management
- Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach
- The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces
- The incentives of hedge fund fees and high-water marks
- Zero-Sum Ergodic Stochastic Games with Feller Transition Probabilities
Cited in
(5)- Long-term optimal investment with a generalized drawdown constraint
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- On asymptotic optimality of Merton's myopic portfolio strategies under time discretization
- Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
- A note on long-term optimal portfolios under drawdown constraints
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