Multi-Asset portfolio optimization with stochastic Sharpe ratio under drawdown constraint
Subhojit Biswas and Saif Jawaid, Diganta Mukherjee
| Year of publication: |
2020
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|---|---|
| Authors: | Biswas, Subhojit ; Jawaid, Saif ; Mukherjee, Diganta |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 15.2020, 1, p. 1-33
|
| Subject: | Portfolio optimization | drawdown | stochastic volatility | local volatility | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Kapitaleinkommen | Capital income | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2010495220800019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012642950