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THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS

  • Published:2014-12-15 Issue:1 Volume:27 Page:68-95
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Kardaras Constantinos1,Obłój Jan2,Platen Eckhard3

Affiliation:

1. London School of Economics and Political Science

2. University of Oxford

3. University of Technology; Sydney

Funder

Bruti-Liberati Fellowship at University of Technology, Sydney

Publisher

Wiley

Subject

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

Reference37 articles.

Cited by 7 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. Optimal dividends under a drawdown constraint and a curious square-root rule;Finance and Stochastics;2023-03-24

2. Drawdown Measures: Are They All the Same?;The Journal of Portfolio Management;2022-02-26

3. Dynamically consistent investment under model uncertainty: the robust forward criteria;Finance and Stochastics;2018-07-05

4. Drawdown and Drawup for Fractional Brownian Motion with Trend;Journal of Theoretical Probability;2018-06-06

5. On future drawdowns of Lévy processes;Stochastic Processes and their Applications;2017-08
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