Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio - MaRDI portal

Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio (Q4579825)

From MaRDI portal
scientific article; zbMATH DE number 6915800
Language Label Description Also known as
English
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
scientific article; zbMATH DE number 6915800

    Statements

    title
    Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio (English)
    0 references
    author
    Ankush Agarwal
    0 references
    Ronnie Sircar
    0 references
    publication date
    10 August 2018
    0 references
    zbMATH Keywords
    portfolio optimization
    0 references
    drawdown
    0 references
    stochastic volatility
    0 references

    Identifiers

    DOI
    10.1137/16M1100861
    0 references
    Mathematics Subject Classification ID
    91G10
    0 references
    91G60
    0 references
    60H30
    0 references
    zbMATH DE Number
    6915800
    0 references
    arXiv ID
    1610.08558
    0 references
    Wikidata QID
    Q129986512
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q4579825&oldid=37853738"
    Powered by MediaWiki