Drawdown constraint for long-term investments under partial information

MaRDI QIDQ6553142zbMATH OpenFDO

Authors Daniel Hernández-Hernández, Erick Treviño-Aguilar

Publication date 11 June 2024

Published in Pure and Applied Functional Analysis (Search for Journal in Brave)

zbMATH Keywords

partially observed processesdrawdown constraintsAzema-Yor processesrisk-sensitivity control

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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