Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio

DOI10.1137/16M1100861zbMath1410.91406arXiv1610.08558WikidataQ129986512 ScholiaQ129986512MaRDI QIDQ4579825

Ronnie Sircar, Ankush Agarwal

Publication date: 10 August 2018

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

Full work available at URL: https://arxiv.org/abs/1610.08558

zbMATH Keywords

stochastic volatilityportfolio optimizationdrawdown

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (3)

Portfolio management under drawdown constraint in discrete-time financial markets ⋮ A dynamic programming approach to path-dependent constrained portfolios ⋮ Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle

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