THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS

DOI10.1111/mafi.12081zbMath1414.91344arXiv1206.2305OpenAlexW2157453007MaRDI QIDQ2968274

Constantinos Kardaras, Eckhard Platen, Jan Obłój

Publication date: 13 March 2017

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.2305

zbMATH Keywords

portfolio managementasymptotic growthdrawdown constraintsnuméraire property

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (5)

On future drawdowns of Lévy processes ⋮ Minimizing the probability of lifetime drawdown under constant consumption ⋮ Optimal dividends under a drawdown constraint and a curious square-root rule ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Drawdown and drawup for fractional Brownian motion with trend

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