The numeraire property and long-term growth optimality for drawdown-constrained investments
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- Constantinos Kardaras & Jan Obłój & Eckhard Platen, 2017. "The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 68-95, January.
- Kardaras, Constantinos & Obłój, Jan & Platen, Eckhard, 2017. "The numéraire property and long-term growth optimality for drawdown-constrained investments," LSE Research Online Documents on Economics 60132, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
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- Harry M. Markowitz, "undated". "Investment for the Long Run," Rodney L. White Center for Financial Research Working Papers 20-72, Wharton School Rodney L. White Center for Financial Research.
- Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October.
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- repec:eee:spapps:v:127:y:2017:i:8:p:2679-2698 is not listed on IDEAS
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016.
"Minimizing the probability of lifetime drawdown under constant consumption,"
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- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
"Minimizing the expected lifetime spent in drawdown under proportional consumption,"
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- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption," Papers 1508.01914, arXiv.org, revised Aug 2015.
More about this item
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- F3 - International Economics - - International Finance
- G3 - Financial Economics - - Corporate Finance and Governance
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
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