Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
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Publisher
Elsevier BV
Reference21 articles.
1. Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets;G Chacko;Review of Financial Studies,2005
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4. Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model;V Cherny;Finance and Stochastics,2013
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