Drawdown constraint for long-term investments under partial information

zbMATH Open1541.91226MaRDI QIDQ6553142FDOQ6553142

Authors: Daniel Hernández-Hernández, Erick Treviño-Aguilar 

Publication date: 11 June 2024

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

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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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