Author:
Chen Xinfu,Landriault David,Li Bin,Li Dongchen
Funder
Natural Sciences and Engineering Research Council of Canada
University of Waterloo
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference19 articles.
1. Portfolio selection with a drawdown constraint;Alexander;J. Banking Finance,2006
2. Minimizing the expected lifetime spent in drawdown under proportional consumption;Angoshtari;Finance Res. Lett.,2015
3. Angoshtari, B., Bayraktar, E., Young, V.R., 2015b. Optimal investment to minimize the probability of drawdown. Preprint. Available at: http://arxiv.org/abs/1506.00166.
4. Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options;Avram;Ann. Appl. Probab.,2004
5. Stop-outs under serial correlation and ’the triple penance rule’;Bailey;J. Risk,2015
Cited by
30 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献