Optimal investment to minimize the probability of drawdown

DOI10.1080/17442508.2016.1155590zbMath1367.91162arXiv1506.00166OpenAlexW566847370MaRDI QIDQ2833710

Bahman Angoshtari, Virginia R. Young, Erhan Bayraktar

Publication date: 25 November 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00166

zbMATH Keywords

stochastic optimal controloptimal investmentprobability of drawdown

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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