Portfolio management under drawdown constraint in discrete-time financial markets
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2022.31
Abstract: Abstract Considering a representative agent in the market, we study the long-term optimal investment problem in a discrete-time financial market, introducing a set of restrictions in the admissible strategies. The drawdown constraints limit the size… read more here.
Keywords: time financial; portfolio management; management drawdown; discrete time ... See more keywords