Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
scientific article; zbMATH DE number 852301 - MaRDI portal

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 marketsRobust option pricing: Hannan and Blackwell meet Black and ScholesDRAWDOWN MEASURES AND RETURN MOMENTSFinite time Merton strategy under drawdown constraint: a viscosity solution approachMinimizing the probability of lifetime drawdown under constant consumptionOptimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structurePerformance Fees with Stochastic BenchmarkOptimal per-loss reinsurance and investment to minimize the probability of drawdownDrawdown analysis for the renewal insurance risk processPortfolio optimisation under non-linear drawdown constraints in a semimartingale financial modelPortfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe RatioDrawdown: from practice to theory and back againOn minimizing drawdown risks of lifetime investmentsA general method for analysis and valuation of drawdown riskOptimal filter rules for selling stocks in the emerging stock marketsCharacterization of efficient frontier for mean-variance model with a drawdown constraintMagnitude and speed of consecutive market crashes in a diffusion modelOptimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion ModelOptimal portfolio strategy under rolling economic maximum drawdown constraintsTiming portfolio strategies with exponential Lévy processesOptimal reinsurance to minimize the probability of drawdown under the mean-variance premium principleOn Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equationA note on long-term optimal portfolios under drawdown constraintsLifetime ruin under high-water mark fees and drift uncertaintyMultiscale Asymptotic Analysis for Portfolio Optimization under Stochastic EnvironmentSynergy effect of cooperative investmentOptimal portfolio management with American capital guaranteeLong-term optimal portfolios with floorGrowth Optimal Portfolio Insurance in Continuous and Discrete TimeStochastic modeling and fair valuation of drawdown insuranceFormulas for stopped diffusion processes with stopping times based on drawdowns and drawupsEffectiveness of CPPI strategies under discrete-time tradingOptimal investment strategies with a reallocation constraintCapital asset pricing model (CAPM) with drawdown measureOptimal lifetime consumption and investment under a drawdown constraintPortfolio optimization managing value at risk under heavy tail return, using stochastic maximum principleGeneralized expected discounted penalty function at general drawdown for Lévy risk processesAumann-Serrano index of risk in portfolio optimizationOptimal growth rate in random trade timeAsset management with endogenous withdrawals under a drawdown constraintOptimal long term growth rate of expected utility of wealthMinimizing the penalized probability of drawdown for a general insurance company under ambiguity aversionThe Grossman and Zhou investment strategy is not always optimalAsymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment




This page was built for publication: