scientific article; zbMATH DE number 852301
From MaRDI portal
Publication:4868512
zbMath0841.90013MaRDI QIDQ4868512
Ioannis Karatzas, Jakša Cvitanić
Publication date: 24 July 1996
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items (45)
Risk-sensitive control and an optimal investment model. II. ⋮ Portfolio management under drawdown constraint in discrete-time financial markets ⋮ Robust option pricing: Hannan and Blackwell meet Black and Scholes ⋮ DRAWDOWN MEASURES AND RETURN MOMENTS ⋮ Finite time Merton strategy under drawdown constraint: a viscosity solution approach ⋮ Minimizing the probability of lifetime drawdown under constant consumption ⋮ Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure ⋮ Performance Fees with Stochastic Benchmark ⋮ Optimal per-loss reinsurance and investment to minimize the probability of drawdown ⋮ Drawdown analysis for the renewal insurance risk process ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ 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 ⋮ Optimal filter rules for selling stocks in the emerging stock markets ⋮ Characterization of efficient frontier for mean-variance model with a drawdown constraint ⋮ Magnitude and speed of consecutive market crashes in a diffusion model ⋮ Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model ⋮ Optimal portfolio strategy under rolling economic maximum drawdown constraints ⋮ Timing portfolio strategies with exponential Lévy processes ⋮ Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle ⋮ On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation ⋮ A note on long-term optimal portfolios under drawdown constraints ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment ⋮ Synergy effect of cooperative investment ⋮ Optimal portfolio management with American capital guarantee ⋮ Long-term optimal portfolios with floor ⋮ Growth Optimal Portfolio Insurance in Continuous and Discrete Time ⋮ Stochastic modeling and fair valuation of drawdown insurance ⋮ Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups ⋮ Effectiveness of CPPI strategies under discrete-time trading ⋮ Optimal investment strategies with a reallocation constraint ⋮ Capital asset pricing model (CAPM) with drawdown measure ⋮ Optimal lifetime consumption and investment under a drawdown constraint ⋮ Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle ⋮ Generalized expected discounted penalty function at general drawdown for Lévy risk processes ⋮ Aumann-Serrano index of risk in portfolio optimization ⋮ Optimal growth rate in random trade time ⋮ Asset management with endogenous withdrawals under a drawdown constraint ⋮ Optimal long term growth rate of expected utility of wealth ⋮ Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion ⋮ The Grossman and Zhou investment strategy is not always optimal ⋮ Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
This page was built for publication: