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When to sell an asset amid anxiety about drawdowns

  • Published:2020-06-12 Issue:4 Volume:30 Page:1422-1460
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Rodosthenous Neofytos1,Zhang Hongzhong2ORCID

Affiliation:

1. School of Mathematical Sciences Queen Mary University of London London UK

2. Department of IEOR Columbia University New York New York

Funder

Engineering and Physical Sciences Research Council

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Cited by 6 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

1. Regular and exploratory resource extraction models considering sustainability;Results in Applied Mathematics;2024-08

2. Nonzero-Sum Optimal Stopping Game with Continuous vs. Periodic Exercise Opportunities;Mathematics of Operations Research;2024-07-29

3. Benchmark-based deviation and drawdown measures in portfolio optimization;Optimization Letters;2024-06-25

4. Optimal Timing of Business Conversion for Solvency Improvement;Acta Mathematicae Applicatae Sinica, English Series;2024-06-05

5. A century of asset allocation crash risk;Journal of Asset Management;2024-04-02
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