Portfolio management under drawdown constraint in discrete-time financial markets

DOI10.1017/jpr.2022.31OpenAlexW4311969547MaRDI QIDQ5880989

Daniel Hernández-Hernández, Diego Hernández Bustos

Publication date: 9 March 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2022.31

zbMATH Keywords

risk-sensitive controldrawdown constraintoptimal growth rate

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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