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  • Search: subject:"drawdown constraints"
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Year of publication
Subject
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Drawdown Constraints 1 Hedging 1 Optimal Portfolio Choice 1 Portfolio selection 1 Portfolio-Management 1 Risikomanagement 1 Risk management 1 Theorie 1 Theory 1 Transaction Costs 1 Transaction costs 1 Transaktionskosten 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Gallien, Florent 1 Kassibrakis, Serge 1 Malamud, Semyon 1
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Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
Source
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ECONIS (ZBW) 1
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Hedge or rebalance : optimal risk management with transaction costs
Gallien, Florent; Kassibrakis, Serge; Malamud, Semyon - 2018 - This version: July 4, 2018
We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the total risk of his portfolio after a drawdown. In...
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