Long-Term Optimal Investment with a Generalized Drawdown Constraint

DOI10.1137/110830101zbMath1280.91157OpenAlexW1968810171MaRDI QIDQ2873137

Jun Sekine

Publication date: 23 January 2014

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110830101

zbMATH Keywords

Azéma-Yor processlong-term optimal investmentrisk-sensitive portfolio optimizationfloor constraintgeneralized drawdown constraint

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (5)

Portfolio management under drawdown constraint in discrete-time financial markets ⋮ Drawdown: from practice to theory and back again ⋮ Expected utility of the drawdown-based regime-switching risk model with state-dependent termination ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model ⋮ Asset management with endogenous withdrawals under a drawdown constraint

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