Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

DOI10.1007/s00780-013-0209-4zbMath1279.91144arXiv1110.6289OpenAlexW2111302854MaRDI QIDQ377454

Vladimir Cherny, Jan Obłój

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.6289

zbMATH Keywords

asymptotic growth rateAzéma-Yor processesdrawdown constraintportfolio optimisation

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Sample path properties (60G17) Portfolio theory (91G10)

Related Items (16)

Portfolio management under drawdown constraint in discrete-time financial markets ⋮ On future drawdowns of Lévy processes ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio ⋮ Drawdown: from practice to theory and back again ⋮ On minimizing drawdown risks of lifetime investments ⋮ A general method for analysis and valuation of drawdown risk ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS ⋮ Timing portfolio strategies with exponential Lévy processes ⋮ Analysis of a drawdown-based regime-switching Lévy insurance model ⋮ A unified approach for drawdown (drawup) of time-homogeneous Markov processes ⋮ THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS ⋮ Generalized expected discounted penalty function at general drawdown for Lévy risk processes ⋮ Drawdown and drawup for fractional Brownian motion with trend ⋮ Asset management with endogenous withdrawals under a drawdown constraint

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