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Portfolio selection with a drawdown constraint

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Author Info
Alexander, Gordon J.
Baptista, Alexandre M.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-4KF1HNN-3/2/ef4b20114856a44a69529379c35851d2
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Publisher Info
Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 30 (2006)
Issue (Month): 11 (November)
Pages: 3171-3189
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Handle: RePEc:eee:jbfina:v:30:y:2006:i:11:p:3171-3189

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  1. Diana Barro & Elio Canestrelli, 2008. "Tracking error with minimum guarantee constraints," Working Papers 172, Department of Applied Mathematics, University of Venice. [Downloadable!]
  2. Bastien Drut, 2009. "Nice guys with cold feet: The cost of responsible investing in the bond markets," Working Papers CEB 09-034.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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