Showing 1 - 10 of 43
Persistent link: https://www.econbiz.de/10003608131
Persistent link: https://www.econbiz.de/10001658617
Persistent link: https://www.econbiz.de/10000168118
Persistent link: https://www.econbiz.de/10008904346
Persistent link: https://www.econbiz.de/10003461165
Persistent link: https://www.econbiz.de/10001173370
Persistent link: https://www.econbiz.de/10003826903
We analyze optimal investment strategies under the drawdown constraint that the wealth process never falls below a fixed fraction of its running maximum. We derive optimal allocation programs by solving numerically the Hamilton-Jacobi-Bellman equation that characterizes the finite horizon...
Persistent link: https://www.econbiz.de/10012957585
Persistent link: https://www.econbiz.de/10001404500
Persistent link: https://www.econbiz.de/10001249193