OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
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Publication:4372014
DOI10.1111/j.1467-9965.1993.tb00044.xzbMath0884.90031OpenAlexW2046913100MaRDI QIDQ4372014
Zhongquan Zhou, Sanford J. Grossman
Publication date: 21 January 1998
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00044.x
stochastic controlsemimartingalesportfolio insurancedrawdownstochastic flooroptimal risky investment policy
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