On Portfolio Optimization under “Drawdown” Constraints

Publisher Website

1 January 1995

book chapter
Published by Springer Nature

p. 35-45
https://doi.org/10.1007/978-1-4757-2435-6_3

Abstract

No abstract available

This publication has 2 references indexed in Scilit:

OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
Mathematical Finance, 1993
Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
SIAM Journal on Control and Optimization, 1987