OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- 1 July 1993
- journal article
- Published by Wiley in Mathematical Finance
- Vol. 3 (3) , 241-276
- https://doi.org/10.1111/j.1467-9965.1993.tb00044.x
Abstract
No abstract availableKeywords
This publication has 4 references indexed in Scilit:
- Optimal Dynamic Trading with Leverage ConstraintsJournal of Financial and Quantitative Analysis, 1992
- Stochastic Integration and Differential EquationsPublished by Springer Nature ,1990
- A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage FeesMathematics of Operations Research, 1988
- Optimum consumption and portfolio rules in a continuous-time modelJournal of Economic Theory, 1971