Characterization of efficient frontier for mean-variance model with a drawdown constraint (Q902570)
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scientific article; zbMATH DE number 6532408
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Characterization of efficient frontier for mean-variance model with a drawdown constraint |
scientific article; zbMATH DE number 6532408 |
Statements
Characterization of efficient frontier for mean-variance model with a drawdown constraint (English)
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18 January 2016
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efficient frontier
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drawdown constraint
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primitive securities
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arbitrage-free hypothesis
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portfolio selection
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