Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
| Year of publication: |
2013
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|---|---|
| Authors: | Cherny, Vladimir ; Obłój, Jan |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 13563397. - Vol. 17.2013, 4, p. 771-800
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