Grossman, Sanford J.; Zhou, Zhongquan - In: Mathematical Finance 3 (1993) 3, pp. 241-276
We analyze the optimal risky investment policy for an investor who, at each point in time, wants to lose no more than a fixed percentage of the maximum value his wealth has achieved up to that time. In particular, if "M"<sub>t</sub> is the maximum level of wealth W attained on or before time "t", then the...
