EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Azéma–Yor processes"
Narrow search

Narrow search

Year of publication
Subject
All
Asymptotic growth rate 1 Azéma-Yor processes 1 Azéma–Yor processes 1 Drawdown constraint 1 Mathematical programming 1 Mathematische Optimierung 1 Portfolio optimisation 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1 asymptotic growth rate 1 drawdown constraint 1 portfolio optimisation 1
more ... less ...
Online availability
All
Undetermined 1
Type of publication
All
Article 2
Type of publication (narrower categories)
All
Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1 Undetermined 1
Author
All
Cherny, Vladimir 2 Obłój, Jan 2
Published in...
All
Finance and Stochastics 1 Finance and stochastics 1
Source
All
ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir; Obłój, Jan - In: Finance and Stochastics 17 (2013) 4, pp. 771-800
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a drawdown constraint, as in the original setup of Grossman...
Persistent link: https://www.econbiz.de/10010997062
Saved in:
Cover Image
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir; Obłój, Jan - In: Finance and stochastics 17 (2013) 4, pp. 771-800
Persistent link: https://www.econbiz.de/10010190877
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...