In this paper, risk metrics in capital growth and drawdown as a financial risk measure were considered. Moreover, we developed a dynamic portfolio management model with constraints on the maximal drawdown. Exact optimization algorithms run into difficulties in this framework and this motivates...

We investigate the problem of dynamic optimal capital growth of a portfolio. A general framework that one strives to maximize the expected logarithm utility of long term growth rate was developed. Exact optimization algorithms run into difficulties in this framework and this motivates the...