Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (Q377454)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model |
scientific article; zbMATH DE number 6223043
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model |
scientific article; zbMATH DE number 6223043 |
Statements
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (English)
0 references
6 November 2013
0 references
portfolio optimisation
0 references
drawdown constraint
0 references
asymptotic growth rate
0 references
Azéma-Yor processes
0 references
0 references
