SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On minimizing drawdown risks of lifetime investments
12 references·1 citing·51 second hopsampled
On minimizing drawdown risks of lifetime investments (2015)On minimizing drawdown risks of lifetime …Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion (2015)Minimizing the Probability of…Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (2013)Portfolio optimisation under …Optimal lifetime consumption and investment under a drawdown constraint (2008)Optimal lifetime consumption …Portfolio selection with a drawdown constraint (2006)Portfolio selection with a dr…Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement (2006)Optimal and Simple, Nearly Op…Minimizing the probability of lifetime ruin under borrowing constraints (2006)Minimizing the probability of…DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)DRAWDOWN MEASURE IN PORTFOLIO…Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin (2004)Optimal Investment Strategy t…Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (2004)Exit problems for spectrally …On Portfolio Optimization under “Drawdown” Constraints (1995)On Portfolio Optimization und…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…A Stopped Brownian Motion Formula (1975)A Stopped Brownian Motion For…Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle (2020)Optimal reinsurance to minimi…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Risk-sensitive control and an optimal investment model II (2002)Optimal portfolio management with American capital guarantee (2004)Brownian Motion and Stochastic Calculus (2007)Shocks, Crashes and Bubbles in Financial Markets (2010)Théorie de la spéculation (1900)CONTINUOUS INSPECTION SCHEMES (1954)The Random Character of Stock Market Prices (1968)Formulas for Stopped Diffusion Processes with Stopping Times Based on the Maximum (1977)A class of singular stochastic control problems (1983)A class of singular stochastic control problems (2006)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Stochastic Integration and Differential Equations (2005)Smoothness of scale functions for spectrally negative Lévy processes (2010)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Stochastic Integration and Differential Equations : A New Approach (2014)Brownian motion and stochastic calculus (1991)Methods of Mathematical Finance (1998)Correspondence between lifetime minimum wealth and utility of consumption (2007)Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints (2008)Proving regularity of the minimal probability of ruin via a game of stopping and control (2011)Portfolio Selection (1952)Dynamic Asset Pricing Theory. (1993)Risks and Portfolio Decisions Involving Hedge Funds (2003)Active portfolio management with benchmarking: A frontier based on alpha (2010)Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017)Optimal Investment and Consumption with Transaction Costs (1994)Model Misspecification and Underdiversification (2003)Robust Portfolio Rules and Asset Pricing (2004)Alpha-robust mean-variance reinsurance-investment strategy (2016)Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions (2016)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Spectral risk measures and portfolio selection (2008)Twenty years of linear programming based portfolio optimization (2013)Deep Learning for Portfolio Optimization (2020)Continuous-Time Finance. (1991)Arbitrage Theory in Continuous Time (1998)Loss Models: From Data to Decisions (1999)A Sustainable Spending Rate without Simulation (2005)Comonotonic Approximations for Optimal Portfolio Selection Problems (2005)ASSET ALLOCATION AND ANNUITY‐PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN (2006)Capital Asset Pricing Model (CAPM) with drawdown measure (2013)THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS (2013)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited
  • 2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION349 cited
  • 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options264 cited
  • 1995On Portfolio Optimization under “Drawdown” Constraints159 cited
  • 1975A Stopped Brownian Motion Formula149 cited
  • 2004Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin121 cited
  • 2008Optimal lifetime consumption and investment under a drawdown constraint97 cited
  • 2015Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion65 cited
  • 2006Portfolio selection with a drawdown constraint65 cited
  • 2006Minimizing the probability of lifetime ruin under borrowing constraints61 cited
  • 2013Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model43 cited
  • 2006Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement32 cited

Cited by

  • 2020Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle29 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work