A note on long-term optimal portfolios under drawdown constraints (Q5395355)
From MaRDI portal
scientific article; zbMATH DE number 5070463
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on long-term optimal portfolios under drawdown constraints |
scientific article; zbMATH DE number 5070463 |
Statements
A note on long-term optimal portfolios under drawdown constraints (English)
0 references
2 November 2006
0 references
Drawdown constraint
0 references
risk constraint
0 references
long-term investment
0 references
risk-sensitive control
0 references
Skorokhod equation
0 references
algebraic Riccati equation
0 references
0 references
0 references
