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On Portfolio Optimization under “Drawdown” Constraints
5 references·16 citing·41 second hop
On Portfolio Optimization under “Drawdown” Constraints (1995)On Portfolio Optimization under “Drawdown…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…Optimization Problems in the Theory of Continuous Trading (1989)Optimization Problems in the …Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Drawdown: From Practice to Theory and Back Again (2017)Drawdown: From Practice to Th…On magnitude, asymptotics and duration of drawdowns for Lévy models (2016)On magnitude, asymptotics and…Capital Asset Pricing Model (CAPM) with drawdown measure (2013)Capital Asset Pricing Model (…MAXIMUM DRAWDOWN INSURANCE (2011)MAXIMUM DRAWDOWN INSURANCEShocks, Crashes and Bubbles in Financial Markets (2010)Shocks, Crashes and Bubbles i…Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups (2009)Formulas for stopped diffusio…Optimal lifetime consumption and investment under a drawdown constraint (2008)Optimal lifetime consumption …Effectiveness of CPPI strategies under discrete-time trading (2008)Effectiveness of CPPI strateg…Portfolio selection with a drawdown constraint (2006)Portfolio selection with a dr…Optimal portfolio management with American capital guarantee (2004)Optimal portfolio management …Risk-sensitive control and an optimal investment model II (2002)Risk-sensitive control and an…Risk sensitive asset allocation (2000)Risk sensitive asset allocati…Portfolio Optimization with Drawdown Constraints (2000)Portfolio Optimization with D…Optimal long term growth rate of expected utility of wealth (1999)Optimal long term growth rate…Optimal investment and consumption models with non-linear stock dynamics (1999)Optimal investment and consum…Optimal trading under constraints (1997)Optimal trading under constra…What Moves Stock Prices? (1988)Efficient Capital Markets: II (1991)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)A case study of speculative financial bubbles in the South African stock market 2003–2006 (2008)The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals (2014)Dissection of Bitcoin’s multiscale bubble history from January 2012 to February 2018 (2019)Risk-Sensitive Control on an Infinite Time Horizon (1995)Risk-Sensitive Dynamic Asset Management (1999)Risk-sensitive portfolio optimization on infinite time horizon (2002)Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models (2003)An Application of Stochastic Control Theory to Financial Economics (2004)Controlled Markov Processes and Viscosity Solutions (2005)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Strategic asset allocation (1997)Sentience and the Origins of Consciousness: From Cartesian Duality to Markovian Monism (2020)Stochastic Integration and Differential Equations (1990)Theory of constant proportion portfolio insurance (1992)On dynamic measures of risk (1999)Large stock market price drawdowns are outliers (2001)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A generalized clark representation formula, with application to optimal portfolios (1991)Anticipative portfolio optimization (1996)A two-person dynamic equilibrium under ambiguity (2003)An Intertemporal Capital Asset Pricing Model (1973)Methods of Mathematical Finance (1998)CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009)Omega performance measure and portfolio insurance (2010)Pension funds with a minimum guarantee: a stochastic control approach (2010)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (2013)THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS (2013)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited
  • 1989Optimization Problems in the Theory of Continuous Trading284 cited

Cited by

  • 2010Shocks, Crashes and Bubbles in Financial Markets137 cited
  • 2004Optimal portfolio management with American capital guarantee116 cited
  • 2002Risk-sensitive control and an optimal investment model II112 cited
  • 1999Optimal long term growth rate of expected utility of wealth102 cited
  • 2008Optimal lifetime consumption and investment under a drawdown constraint97 cited
  • 2013Capital Asset Pricing Model (CAPM) with drawdown measure97 cited
  • 2000Portfolio Optimization with Drawdown Constraints82 cited
  • 1997Optimal trading under constraints76 cited
  • 2008Effectiveness of CPPI strategies under discrete-time trading66 cited
  • 2006Portfolio selection with a drawdown constraint65 cited

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  • 2009Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups59 cited
  • 2000Risk sensitive asset allocation58 cited
  • 1999Optimal investment and consumption models with non-linear stock dynamics57 cited
  • 2011MAXIMUM DRAWDOWN INSURANCE55 cited
  • 2017Drawdown: From Practice to Theory and Back Again55 cited
  • 2016On magnitude, asymptotics and duration of drawdowns for Lévy models53 cited