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Optimal Investment Strategies For Controlling Drawdowns

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Cited by:

  1. Chen, An & Nguyen, Thai & Rach, Manuel, 2021. "Optimal collective investment: The impact of sharing rules, management fees and guarantees," Journal of Banking & Finance, Elsevier, vol. 123(C).
  2. Tim Byrnes & Tristan Barnett, 2018. "Generalized Framework For Applying The Kelly Criterion To Stock Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-13, August.
  3. Itzhak Ben-David & Justin Birru & Andrea Rossi, 2020. "The Performance of Hedge Fund Performance Fees," NBER Working Papers 27454, National Bureau of Economic Research, Inc.
  4. Romuald Elie & Nizar Touzi, 2008. "Optimal lifetime consumption and investment under a drawdown constraint," Finance and Stochastics, Springer, vol. 12(3), pages 299-330, July.
  5. Laurent Carraro & Nicole El Karoui & Jan Ob{l}'oj, 2009. "On Az\'ema-Yor processes, their optimal properties and the Bachelier-drawdown equation," Papers 0902.1328, arXiv.org, revised Sep 2012.
  6. Zbigniew Palmowski & Joanna Tumilewicz, 2018. "Drawdown insurance contracts for the Lévy-type model with the phase-type jump distribution and general reward function," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 255-270.
  7. Dangl, Thomas & Randl, Otto & Zechner, Josef, 2016. "Risk control in asset management: Motives and concepts," CFS Working Paper Series 546, Center for Financial Studies (CFS).
  8. Ralph S. J. Koijen & Tomas J. Philipson & Harald Uhlig, 2016. "Financial Health Economics," Econometrica, Econometric Society, vol. 84, pages 195-242, January.
  9. Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.
  10. Ben Ameur, H. & Prigent, J.-L., 2018. "Risk management of time varying floors for dynamic portfolio insurance," European Journal of Operational Research, Elsevier, vol. 269(1), pages 363-381.
  11. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
  12. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, vol. 110(2), pages 300-323.
  13. Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1422-1460, October.
  14. Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, October.
  15. Michael J. Klass & Krzysztof Nowicki, 2010. "On The Consumption/Distribution Theorem Under The Long-Run Growth Criterion Subject To A Drawdown Constraint," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(06), pages 931-957.
  16. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
  17. Zhang, Gongqiu & Li, Lingfei, 2023. "A general method for analysis and valuation of drawdown risk," Journal of Economic Dynamics and Control, Elsevier, vol. 152(C).
  18. Koichi Matsumoto, 2007. "Portfolio Insurance with Liquidity Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(4), pages 363-386, December.
  19. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
  20. Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Fair valuation of L\'evy-type drawdown-drawup contracts with general insured and penalty functions," Papers 1712.04418, arXiv.org, revised Feb 2018.
  21. Braun, Matias & Riutort, Julio & Roche, Hervé, 2024. "Hedge fund fee structure and risk exposure," Economic Modelling, Elsevier, vol. 132(C).
  22. Stanislaus Maier-Paape & Andreas Platen & Qiji Jim Zhu, 2019. "A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach," Risks, MDPI, vol. 7(2), pages 1-31, June.
  23. Luisa Corrado & Marcus Miller & Lei Zhang, 2007. "Bulls, bears and excess volatility: can currency intervention help?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 261-272.
  24. Tiantian Li & Young Shin Kim & Qi Fan & Fumin Zhu, 2021. "Aumann–Serrano index of risk in portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 197-217, October.
  25. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
  26. Leonie Violetta Brinker, 2021. "Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model," Risks, MDPI, vol. 9(1), pages 1-18, January.
  27. Ruimeng Hu, 2018. "Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments," Papers 1803.07720, arXiv.org, revised Jan 2019.
  28. Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
  29. Steven D. Moffitt, 2018. "Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists," Papers 1801.01948, arXiv.org.
  30. MacLean, Leonard C. & Sanegre, Rafael & Zhao, Yonggan & Ziemba, William T., 2004. "Capital growth with security," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 937-954, February.
  31. Yuk-Loong Chow & Xiang Yu & Chao Zhou, 2020. "On Dynamic Programming Principle for Stochastic Control Under Expectation Constraints," Journal of Optimization Theory and Applications, Springer, vol. 185(3), pages 803-818, June.
  32. Jin’an He & Fangping Peng & Xiuying Xie, 2024. "Risk-adjusted exponential gradient strategies for online portfolio selection," Journal of Combinatorial Optimization, Springer, vol. 48(1), pages 1-25, August.
  33. Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2018. "Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates," Papers 1806.07499, arXiv.org, revised Mar 2019.
  34. Bogdan Grechuk & Michael Zabarankin, 2017. "Synergy effect of cooperative investment," Annals of Operations Research, Springer, vol. 249(1), pages 409-431, February.
  35. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2012. "When more is less: Using multiple constraints to reduce tail risk," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2693-2716.
  36. Ankush Agarwal & Ronnie Sircar, 2017. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Working Papers hal-01388399, HAL.
  37. Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015. "Minimizing the expected lifetime spent in drawdown under proportional consumption," Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.
  38. Junbeom Lee & Xiang Yu & Chao Zhou, 2019. "Lifetime Ruin under High-watermark Fees and Drift Uncertainty," Papers 1909.01121, arXiv.org, revised Oct 2020.
  39. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
  40. Kyo Yamamoto & Seisho Sato & Akihiko Takahashi, 2009. "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-625, CIRJE, Faculty of Economics, University of Tokyo.
  41. Jean-Pierre Fouque & Ruimeng Hu, 2017. "Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment," Papers 1706.03139, arXiv.org, revised Feb 2018.
  42. Arjan Berkelaar & Roy Kouwenberg, 2011. "A Liability-Relative Drawdown Approach to Pension Asset Liability Management," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 14, pages 352-382, Palgrave Macmillan.
  43. Kyo Yamamoto & Seisho Sato & Akihiko Takahashi, 2008. "Probability Distribution and Option Pricing for Drawdown in a Stochastic Volatility Environment ( Revised in May 2009; Electronic version of an article will be published in "International Journal," CARF F-Series CARF-F-138, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  44. Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
  45. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
  46. Subhojit Biswas & Diganta Mukherjee, 2019. "Discrete time portfolio optimisation managing value at risk under heavy tail return distribution," Papers 1908.03907, arXiv.org, revised Nov 2020.
  47. Bielecki, Tomasz R. & Pliska, Stanley R. & Sherris, Michael, 2000. "Risk sensitive asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1145-1177, July.
  48. Zbigniew Palmowski & Joanna Tumilewicz, 2017. "Pricing insurance drawdown-type contracts with underlying L\'evy assets," Papers 1701.01891, arXiv.org, revised Oct 2017.
  49. Pospisil, Libor & Vecer, Jan & Hadjiliadis, Olympia, 2009. "Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2563-2578, August.
  50. El Karoui, Nicole & Jeanblanc, Monique & Lacoste, Vincent, 2005. "Optimal portfolio management with American capital guarantee," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 449-468, March.
  51. Philipp M. Möller, 2018. "Drawdown Measures And Return Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-42, November.
  52. Mendes, Beatriz Vaz de Melo & Lavrado, Rafael Coelho, 2017. "Implementing and testing the Maximum Drawdown at Risk," Finance Research Letters, Elsevier, vol. 22(C), pages 95-100.
  53. Alexander, Gordon J. & Baptista, Alexandre M., 2006. "Portfolio selection with a drawdown constraint," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3171-3189, November.
  54. Landriault, David & Li, Bin & Li, Shu, 2015. "Analysis of a drawdown-based regime-switching Lévy insurance model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 98-107.
  55. Shiva Chandra & Andrew Papanicolaou, 2019. "Singular Perturbation Expansion For Utility Maximization With Order-𝜖 Quadratic Transaction Costs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(07), pages 1-18, November.
  56. Haß, Lars Helge & Johanning, Lutz & Rudolph, Bernd & Schweizer, Denis, 2012. "Open-ended property funds: Risk and return profile — Diversification benefits and liquidity risks," International Review of Financial Analysis, Elsevier, vol. 21(C), pages 90-107.
  57. Anna Ananova & Rama Cont & Renyuan Xu, 2020. "Model-free Analysis of Dynamic Trading Strategies," Papers 2011.02870, arXiv.org, revised Aug 2023.
  58. Zhenyu Cui & Duy Nguyen, 2018. "Magnitude and Speed of Consecutive Market Crashes in a Diffusion Model," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 117-135, March.
  59. Feyzullah Egriboyun & H. Soner, 2010. "Optimal investment strategies with a reallocation constraint," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 551-585, June.
  60. Yu Yuan & Zhibin Liang & Xia Han, 2022. "Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(2), pages 259-290, October.
  61. Alexander, Gordon J. & Baptista, Alexandre M., 2009. "Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 65-92, January.
  62. Mendes, Beatriz Vaz de Melo & Marques, Daniel S., 2012. "Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios," Emerging Markets Review, Elsevier, vol. 13(4), pages 449-464.
  63. T. Arun, 2012. "The Merton Problem with a Drawdown Constraint on Consumption," Papers 1210.5205, arXiv.org.
  64. Li, Jiangyuan & Liu, Bo & Yang, Jinqiang & Zou, Zhentao, 2020. "Hedge fund’s dynamic leverage decisions under time-inconsistent preferences," European Journal of Operational Research, Elsevier, vol. 284(2), pages 779-791.
  65. Chung-Han Hsieh & B. Ross Barmish, 2017. "On Drawdown-Modulated Feedback Control in Stock Trading," Papers 1710.01503, arXiv.org.
  66. Kim, Daehwan & Iwasawa, Seiichiro, 2017. "Hot money and cross-section of stock returns during the global financial crisis," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 8-22.
  67. Jean-Pierre Fouque & Ruimeng Hu, 2017. "Optimal Portfolio under Fractional Stochastic Environment," Papers 1703.06969, arXiv.org, revised Dec 2017.
  68. Wang, Wenyuan & Chen, Ping & Li, Shuanming, 2020. "Generalized expected discounted penalty function at general drawdown for Lévy risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 12-25.
  69. Palmowski, Zbigniew & Tumilewicz, Joanna, 2018. "Pricing insurance drawdown-type contracts with underlying Lévy assets," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 1-14.
  70. A. Johansen & D. Sornette, 2002. "Endogenous versus Exogenous Crashes in Financial Markets," Papers cond-mat/0210509, arXiv.org.
  71. Erindi Allaj, 2020. "The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation," Computational Management Science, Springer, vol. 17(3), pages 465-492, October.
  72. Paolo Guasoni & Gu Wang, 2015. "Hedge and mutual funds’ fees and the separation of private investments," Finance and Stochastics, Springer, vol. 19(3), pages 473-507, July.
  73. Chung-Han Hsieh, 2023. "On Data-Driven Drawdown Control with Restart Mechanism in Trading," Papers 2303.02613, arXiv.org.
  74. Peter Nystrup & Stephen Boyd & Erik Lindström & Henrik Madsen, 2019. "Multi-period portfolio selection with drawdown control," Annals of Operations Research, Springer, vol. 282(1), pages 245-271, November.
  75. David Landriault & Bin Li & Hongzhong Zhang, 2017. "A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes," Papers 1702.07786, arXiv.org.
  76. Chung-Han Hsieh & B. Ross Barmish, 2017. "On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important," Papers 1710.01501, arXiv.org, revised Aug 2018.
  77. Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
  78. Auh, Jun Kyung & Cho, Wonho, 2023. "Factor-based portfolio optimization," Economics Letters, Elsevier, vol. 228(C).
  79. Vladimir Cherny & Jan Obloj, 2011. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Papers 1110.6289, arXiv.org, revised Apr 2013.
  80. Hanauer, Matthias X. & Lauterbach, Jochim G., 2019. "The cross-section of emerging market stock returns," Emerging Markets Review, Elsevier, vol. 38(C), pages 265-286.
  81. Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016. "Minimizing the probability of lifetime drawdown under constant consumption," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 210-223.
  82. Adam Borovička, 2022. "Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 595-616, June.
  83. Marcus Miller & Paul Weller & Lei Zhang, 2000. "Moral Hazard and the US Stock Market: Has Mr. Greenspan Created a Bubble?," Econometric Society World Congress 2000 Contributed Papers 1902, Econometric Society.
  84. Sylvain Chassang, 2016. "Mostly Prior-Free Asset Allocation," Working Papers 077_2016, Princeton University, Department of Economics, Econometric Research Program..
  85. Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558, arXiv.org.
  86. Zabarankin, Michael & Pavlikov, Konstantin & Uryasev, Stan, 2014. "Capital Asset Pricing Model (CAPM) with drawdown measure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 508-517.
  87. Vladimir Cherny & Jan Obloj, 2013. "Optimal portfolios of a long-term investor with floor or drawdown constraints," Papers 1305.6831, arXiv.org.
  88. Francisco Peñaranda & Liuren Wu, 2022. "Targets, Predictability, and Performance," Management Science, INFORMS, vol. 68(2), pages 1537-1555, February.
  89. Kentaro Imajo & Kentaro Minami & Katsuya Ito & Kei Nakagawa, 2020. "Deep Portfolio Optimization via Distributional Prediction of Residual Factors," Papers 2012.07245, arXiv.org.
  90. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
  91. Sagara Dewasurendra & Pedro Judice & Qiji Zhu, 2019. "The Optimum Leverage Level of the Banking Sector," Risks, MDPI, vol. 7(2), pages 1-30, May.
  92. Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2021. "On the analysis of deep drawdowns for the Lévy insurance risk model," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 147-155.
  93. Drenovak, Mikica & Ranković, Vladimir & Urošević, Branko & Jelic, Ranko, 2022. "Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm," Finance Research Letters, Elsevier, vol. 46(PA).
  94. Chen, Xinfu & Landriault, David & Li, Bin & Li, Dongchen, 2015. "On minimizing drawdown risks of lifetime investments," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 46-54.
  95. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 453-474, October.
  96. Paolo Guasoni & Jan Obłój, 2016. "The Incentives Of Hedge Fund Fees And High-Water Marks," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 269-295, April.
  97. Vladimir Cherny & Jan Obłój, 2013. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, vol. 17(4), pages 771-800, October.
  98. L. Di Persio & I. Oliva. K. Wallbaum, 2019. "Options on CPPI with guaranteed minimum equity exposure," Papers 1902.06505, arXiv.org.
  99. Jean-Pierre Fouque & Ruimeng Hu, 2019. "Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment," Papers 1902.06883, arXiv.org, revised Sep 2019.
  100. Ren Liu & Johannes Muhle-Karbe & Marko H. Weber, 2014. "Rebalancing with Linear and Quadratic Costs," Papers 1402.5306, arXiv.org, revised Sep 2017.
  101. Neofytos Rodosthenous & Hongzhong Zhang, 2020. "When to sell an asset amid anxiety about drawdowns," Papers 2006.00282, arXiv.org.
  102. Patrick Bielstein, 2018. "International asset allocation using the market implied cost of capital," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(1), pages 17-51, February.
  103. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
  104. Carmine De Franco & Johann Nicolle & Huy^en Pham, 2020. "Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution," Papers 2010.15779, arXiv.org, revised Oct 2020.
  105. Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2011. "Transaction Costs, Trading Volume, and the Liquidity Premium," Papers 1108.1167, arXiv.org, revised Jan 2013.
  106. David Landriault & Bin Li & Hongzhong Zhang, 2014. "On the Frequency of Drawdowns for Brownian Motion Processes," Papers 1403.1183, arXiv.org.
  107. Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014. "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, vol. 18(1), pages 1-37, January.
  108. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
  109. Tommaso Proietti, 2024. "Ups and (Draw)Downs," CEIS Research Paper 576, Tor Vergata University, CEIS, revised 03 May 2024.
  110. Jun Sekine, 2012. "Long-term optimal portfolios with floor," Finance and Stochastics, Springer, vol. 16(3), pages 369-401, July.
  111. Antje Mahayni & Judith C. Schneider, 2016. "Minimum return guarantees, investment caps, and investment flexibility," Review of Derivatives Research, Springer, vol. 19(2), pages 85-111, July.
  112. Jean-Pierre Fouque & Ruimeng Hu, 2016. "Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment," Papers 1603.03538, arXiv.org, revised Nov 2016.
  113. Damiano Rossello & Silvestro Lo Cascio, 2021. "A refined measure of conditional maximum drawdown," Risk Management, Palgrave Macmillan, vol. 23(4), pages 301-321, December.
  114. Patrick Bielstein & Matthias X. Hanauer, 2019. "Mean-variance optimization using forward-looking return estimates," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 815-840, April.
  115. Yong, Luo & Bo, Zhu & Yong, Tang, 2013. "Dynamic optimal capital growth with risk constraints," Economic Modelling, Elsevier, vol. 30(C), pages 586-594.
  116. Klass, Michael J. & Nowicki, Krzysztof, 2005. "The Grossman and Zhou investment strategy is not always optimal," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 245-252, October.
  117. Jungmu Kim & Yuen Jung Park, 2019. "Is Low-Volatility Investing Sustainable in the SME Stock Market of Korea? A Risk and Return Analysis," Sustainability, MDPI, vol. 11(13), pages 1-17, July.
  118. Zhang, Hongzhong & Leung, Tim & Hadjiliadis, Olympia, 2013. "Stochastic modeling and fair valuation of drawdown insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 840-850.
  119. Hongzhong Zhang & Olympia Hadjiliadis, 2012. "Drawdowns and the Speed of Market Crash," Methodology and Computing in Applied Probability, Springer, vol. 14(3), pages 739-752, September.
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