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On Portfolio Optimization under “Drawdown” Constraints · Study

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ChapterOn Portfolio Optimization under “Drawdown” Constraints

Jakša Cvitanić1995

Chapter1995

On Portfolio Optimization under “Drawdown” Constraints

Jakša Cvitanić · Ioannis Karatzas

159 citations·0/0 files stored·The IMA volumes in mathematics and its applications

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

2007Brownian Motion and Stochastic Calculus 1971Optimum consumption and portfolio rules in a continuous-time model 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS 1989Optimization Problems in the Theory of Continuous Trading

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2010Shocks, Crashes and Bubbles in Financial Markets 2004Optimal portfolio management with American capital guarantee 2002Risk-sensitive control and an optimal investment model II 1999Optimal long term growth rate of expected utility of wealth 2013Capital Asset Pricing Model (CAPM) with drawdown measure 2008Optimal lifetime consumption and investment under a drawdown constraint 2000Portfolio Optimization with Drawdown Constraints 1997Optimal trading under constraints

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2003Optimal investment strategies in the presence of a minimum guaranteearticle · 4 shared references 2001A dynamic maximum principle for the optimization of recursive utilities under constraintsarticle · 4 shared references 2008Optimal lifetime consumption and investment under a drawdown constraintarticle · 4 shared references 2004Optimal Portfolio in a Multiple-Priors Modelchapter · 4 shared references 1997Optimal trading under constraintschapter · 4 shared references 2009Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEsarticle · 4 shared references

Details

Year1995

Typechapter

Published1995-01-01

VenueThe IMA volumes in mathematics and its applications

ISSN-L0940-6573

Languageen

Citations159

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-1-4757-2435-6_3

openalex_workW1484091935

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