The following pages link to (Q4868512):
Displaying 50 items.
- Robust option pricing: Hannan and Blackwell meet Black and Scholes (Q281366) (← links)
- Minimizing the probability of lifetime drawdown under constant consumption (Q343998) (← links)
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454) (← links)
- Synergy effect of cooperative investment (Q513649) (← links)
- On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation (Q662437) (← links)
- On minimizing drawdown risks of lifetime investments (Q896742) (← links)
- Characterization of efficient frontier for mean-variance model with a drawdown constraint (Q902570) (← links)
- Optimal portfolio management with American capital guarantee (Q953755) (← links)
- Optimal investment strategies with a reallocation constraint (Q992044) (← links)
- Optimal lifetime consumption and investment under a drawdown constraint (Q1003344) (← links)
- Optimal long term growth rate of expected utility of wealth (Q1578591) (← links)
- Drawdown: from practice to theory and back again (Q1679554) (← links)
- Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022) (← links)
- Optimal portfolio strategy under rolling economic maximum drawdown constraints (Q1719131) (← links)
- Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
- Long-term optimal portfolios with floor (Q1761450) (← links)
- Risk-sensitive control and an optimal investment model. II. (Q1872384) (← links)
- Stochastic modeling and fair valuation of drawdown insurance (Q2015656) (← links)
- Portfolio selection with drawdown constraint on consumption: a generalization model (Q2040428) (← links)
- Aumann-Serrano index of risk in portfolio optimization (Q2067257) (← links)
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion (Q2084302) (← links)
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown (Q2171077) (← links)
- Lifetime ruin under high-water mark fees and drift uncertainty (Q2234305) (← links)
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups (Q2270885) (← links)
- Effectiveness of CPPI strategies under discrete-time trading (Q2271619) (← links)
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes (Q2306086) (← links)
- Finite time Merton strategy under drawdown constraint: a viscosity solution approach (Q2391245) (← links)
- Capital asset pricing model (CAPM) with drawdown measure (Q2514723) (← links)
- The Grossman and Zhou investment strategy is not always optimal (Q2567182) (← links)
- An optimization model for a portfolio of financial derived instruments with pledge limitations (Q2568177) (← links)
- THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS (Q2968274) (← links)
- (Q3077889) (← links)
- (Q3367847) (← links)
- Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle (Q3383684) (← links)
- Optimal growth rate in random trade time (Q3400020) (← links)
- DRAWDOWN MEASURES AND RETURN MOMENTS (Q4555853) (← links)
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure (Q4562052) (← links)
- Drawdown analysis for the renewal insurance risk process (Q4575464) (← links)
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio (Q4579825) (← links)
- Performance Fees with Stochastic Benchmark (Q5080134) (← links)
- Drawdown beta and portfolio optimization (Q5092643) (← links)
- Correction (Q5092652) (← links)
- Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model (Q5123453) (← links)
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle (Q5140640) (← links)
- Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment (Q5150069) (← links)
- Portfolio Optimization with Combinatorial and Downside Return Constraints (Q5172956) (← links)
- Growth Optimal Portfolio Insurance in Continuous and Discrete Time (Q5176293) (← links)
- Asset management with endogenous withdrawals under a drawdown constraint (Q5234294) (← links)
- Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment (Q5270335) (← links)
- A note on long-term optimal portfolios under drawdown constraints (Q5395355) (← links)
