Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2013-10

AUTHORS

Vladimir Cherny, Jan Obłój

ABSTRACT

A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a drawdown constraint, as in the original setup of Grossman and Zhou (Math. Finance 3:241–276, 1993). We work in an abstract semimartingale financial market model with a general class of utility functions and drawdown constraints. We solve the problem by showing that it is in fact equivalent to an unconstrained problem with a suitably modified utility function. Both the value function and the optimal investment policy for the drawdown problem are given explicitly in terms of their counterparts in the unconstrained problem. More... »

PAGES

771-800

References to SciGraph publications

Journal

TITLE

Finance and Stochastics

ISSUE

4

VOLUME

17

Author Affiliations

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s00780-013-0209-4

DOI

http://dx.doi.org/10.1007/s00780-013-0209-4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1041358087


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1402", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Applied Economics", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/14", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Economics", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "alternateName": "University of Oxford", 
          "id": "https://www.grid.ac/institutes/grid.4991.5", 
          "name": [
            "Mathematical Institute and Oxford-Man Institute of Quantitative Finance, University of Oxford, 24-29 St Giles, OX1 3LB, Oxford, UK"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Cherny", 
        "givenName": "Vladimir", 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "University of Oxford", 
          "id": "https://www.grid.ac/institutes/grid.4991.5", 
          "name": [
            "Mathematical Institute and Oxford-Man Institute of Quantitative Finance, University of Oxford, 24-29 St Giles, OX1 3LB, Oxford, UK"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Ob\u0142\u00f3j", 
        "givenName": "Jan", 
        "id": "sg:person.013677442733.26", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013677442733.26"
        ], 
        "type": "Person"
      }
    ], 
    "citation": [
      {
        "id": "https://doi.org/10.1016/s1570-8659(08)00003-3", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1004369199"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/bf01450498", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1006728418", 
          "https://doi.org/10.1007/bf01450498"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/bf01450498", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1006728418", 
          "https://doi.org/10.1007/bf01450498"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1080/07362990600870488", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1010835822"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/mafi.12057", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1018887867"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://app.dimensions.ai/details/publication/pub.1022727925", 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-3-540-47856-0", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1022727925", 
          "https://doi.org/10.1007/978-3-540-47856-0"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-3-540-47856-0", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1022727925", 
          "https://doi.org/10.1007/978-3-540-47856-0"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s007800050050", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1026257025", 
          "https://doi.org/10.1007/s007800050050"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1540-6261.1991.tb02675.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1026419886"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/1467-9965.00089", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1029475369"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/bfb0070852", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1030151346", 
          "https://doi.org/10.1007/bfb0070852"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1080/14697680903008751", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1032061600"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.spl.2005.04.060", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1032875995"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1467-9965.1993.tb00044.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1037078289"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s00780-008-0066-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1038079220", 
          "https://doi.org/10.1007/s00780-008-0066-8"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s00780-008-0066-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1038079220", 
          "https://doi.org/10.1007/s00780-008-0066-8"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s00245-008-9044-y", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1040643981", 
          "https://doi.org/10.1007/s00245-008-9044-y"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s00245-008-9044-y", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1040643981", 
          "https://doi.org/10.1007/s00245-008-9044-y"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s00780-007-0047-3", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1047381882", 
          "https://doi.org/10.1007/s00780-007-0047-3"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s00780-007-0047-3", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1047381882", 
          "https://doi.org/10.1007/s00780-007-0047-3"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1017/s1365100597003039", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1053805505"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1137/0325086", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1062844010"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1137/09077878x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1062856955"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1142/s0219024905002767", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1062986012"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1214/10-aop614", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064391468"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1214/11-aap767", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064391997"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1214/aoap/1029962818", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064397643"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1239/aap/1158684997", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064440736"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/1912278", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069640079"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/2331365", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069893210"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-1-4757-2435-6_3", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1089531952", 
          "https://doi.org/10.1007/978-1-4757-2435-6_3"
        ], 
        "type": "CreativeWork"
      }
    ], 
    "datePublished": "2013-10", 
    "datePublishedReg": "2013-10-01", 
    "description": "A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a drawdown constraint, as in the original setup of Grossman and Zhou (Math. Finance 3:241\u2013276, 1993). We work in an abstract semimartingale financial market model with a general class of utility functions and drawdown constraints. We solve the problem by showing that it is in fact equivalent to an unconstrained problem with a suitably modified utility function. Both the value function and the optimal investment policy for the drawdown problem are given explicitly in terms of their counterparts in the unconstrained problem.", 
    "genre": "research_article", 
    "id": "sg:pub.10.1007/s00780-013-0209-4", 
    "inLanguage": [
      "en"
    ], 
    "isAccessibleForFree": true, 
    "isPartOf": [
      {
        "id": "sg:journal.1135992", 
        "issn": [
          "0949-2984", 
          "1432-1122"
        ], 
        "name": "Finance and Stochastics", 
        "type": "Periodical"
      }, 
      {
        "issueNumber": "4", 
        "type": "PublicationIssue"
      }, 
      {
        "type": "PublicationVolume", 
        "volumeNumber": "17"
      }
    ], 
    "name": "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model", 
    "pagination": "771-800", 
    "productId": [
      {
        "name": "readcube_id", 
        "type": "PropertyValue", 
        "value": [
          "c50495809bb3993c1566d4f054ad15b5c4120dc85bfa9aa8a5a51c9b6eeebbd4"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1007/s00780-013-0209-4"
        ]
      }, 
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1041358087"
        ]
      }
    ], 
    "sameAs": [
      "https://doi.org/10.1007/s00780-013-0209-4", 
      "https://app.dimensions.ai/details/publication/pub.1041358087"
    ], 
    "sdDataset": "articles", 
    "sdDatePublished": "2019-04-10T21:32", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000001_0000000264/records_8687_00000490.jsonl", 
    "type": "ScholarlyArticle", 
    "url": "http://link.springer.com/10.1007/s00780-013-0209-4"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/s00780-013-0209-4'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/s00780-013-0209-4'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/s00780-013-0209-4'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/s00780-013-0209-4'


 

This table displays all metadata directly associated to this object as RDF triples.

155 TRIPLES      21 PREDICATES      54 URIs      19 LITERALS      7 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1007/s00780-013-0209-4 schema:about anzsrc-for:14
2 anzsrc-for:1402
3 schema:author Ncab25fcdf2a8412f804ad1ff0455afbb
4 schema:citation sg:pub.10.1007/978-1-4757-2435-6_3
5 sg:pub.10.1007/978-3-540-47856-0
6 sg:pub.10.1007/bf01450498
7 sg:pub.10.1007/bfb0070852
8 sg:pub.10.1007/s00245-008-9044-y
9 sg:pub.10.1007/s00780-007-0047-3
10 sg:pub.10.1007/s00780-008-0066-8
11 sg:pub.10.1007/s007800050050
12 https://app.dimensions.ai/details/publication/pub.1022727925
13 https://doi.org/10.1016/j.spl.2005.04.060
14 https://doi.org/10.1016/s1570-8659(08)00003-3
15 https://doi.org/10.1017/s1365100597003039
16 https://doi.org/10.1080/07362990600870488
17 https://doi.org/10.1080/14697680903008751
18 https://doi.org/10.1111/1467-9965.00089
19 https://doi.org/10.1111/j.1467-9965.1993.tb00044.x
20 https://doi.org/10.1111/j.1540-6261.1991.tb02675.x
21 https://doi.org/10.1111/mafi.12057
22 https://doi.org/10.1137/0325086
23 https://doi.org/10.1137/09077878x
24 https://doi.org/10.1142/s0219024905002767
25 https://doi.org/10.1214/10-aop614
26 https://doi.org/10.1214/11-aap767
27 https://doi.org/10.1214/aoap/1029962818
28 https://doi.org/10.1239/aap/1158684997
29 https://doi.org/10.2307/1912278
30 https://doi.org/10.2307/2331365
31 schema:datePublished 2013-10
32 schema:datePublishedReg 2013-10-01
33 schema:description A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a drawdown constraint, as in the original setup of Grossman and Zhou (Math. Finance 3:241–276, 1993). We work in an abstract semimartingale financial market model with a general class of utility functions and drawdown constraints. We solve the problem by showing that it is in fact equivalent to an unconstrained problem with a suitably modified utility function. Both the value function and the optimal investment policy for the drawdown problem are given explicitly in terms of their counterparts in the unconstrained problem.
34 schema:genre research_article
35 schema:inLanguage en
36 schema:isAccessibleForFree true
37 schema:isPartOf N60f2b6f4ef10475f882ebd7f9a679ff3
38 Na7fe8a9e428049048f0737dba1c853c7
39 sg:journal.1135992
40 schema:name Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
41 schema:pagination 771-800
42 schema:productId N40c51c4b7e7049f2bf22acdeaf195a4d
43 N6930b69583f94d6eb9438e38bd926a10
44 N69ec89da9ba94845bc041f21b41a6271
45 schema:sameAs https://app.dimensions.ai/details/publication/pub.1041358087
46 https://doi.org/10.1007/s00780-013-0209-4
47 schema:sdDatePublished 2019-04-10T21:32
48 schema:sdLicense https://scigraph.springernature.com/explorer/license/
49 schema:sdPublisher Nc18a4eef568a411194f56f1c82120af7
50 schema:url http://link.springer.com/10.1007/s00780-013-0209-4
51 sgo:license sg:explorer/license/
52 sgo:sdDataset articles
53 rdf:type schema:ScholarlyArticle
54 N40c51c4b7e7049f2bf22acdeaf195a4d schema:name readcube_id
55 schema:value c50495809bb3993c1566d4f054ad15b5c4120dc85bfa9aa8a5a51c9b6eeebbd4
56 rdf:type schema:PropertyValue
57 N60f2b6f4ef10475f882ebd7f9a679ff3 schema:volumeNumber 17
58 rdf:type schema:PublicationVolume
59 N6930b69583f94d6eb9438e38bd926a10 schema:name doi
60 schema:value 10.1007/s00780-013-0209-4
61 rdf:type schema:PropertyValue
62 N69ec89da9ba94845bc041f21b41a6271 schema:name dimensions_id
63 schema:value pub.1041358087
64 rdf:type schema:PropertyValue
65 N860e9a67570443728dd98e42a4e4c71b rdf:first sg:person.013677442733.26
66 rdf:rest rdf:nil
67 N8d9a2a57afe149e6b5bf21a951d0a693 schema:affiliation https://www.grid.ac/institutes/grid.4991.5
68 schema:familyName Cherny
69 schema:givenName Vladimir
70 rdf:type schema:Person
71 Na7fe8a9e428049048f0737dba1c853c7 schema:issueNumber 4
72 rdf:type schema:PublicationIssue
73 Nc18a4eef568a411194f56f1c82120af7 schema:name Springer Nature - SN SciGraph project
74 rdf:type schema:Organization
75 Ncab25fcdf2a8412f804ad1ff0455afbb rdf:first N8d9a2a57afe149e6b5bf21a951d0a693
76 rdf:rest N860e9a67570443728dd98e42a4e4c71b
77 anzsrc-for:14 schema:inDefinedTermSet anzsrc-for:
78 schema:name Economics
79 rdf:type schema:DefinedTerm
80 anzsrc-for:1402 schema:inDefinedTermSet anzsrc-for:
81 schema:name Applied Economics
82 rdf:type schema:DefinedTerm
83 sg:journal.1135992 schema:issn 0949-2984
84 1432-1122
85 schema:name Finance and Stochastics
86 rdf:type schema:Periodical
87 sg:person.013677442733.26 schema:affiliation https://www.grid.ac/institutes/grid.4991.5
88 schema:familyName Obłój
89 schema:givenName Jan
90 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013677442733.26
91 rdf:type schema:Person
92 sg:pub.10.1007/978-1-4757-2435-6_3 schema:sameAs https://app.dimensions.ai/details/publication/pub.1089531952
93 https://doi.org/10.1007/978-1-4757-2435-6_3
94 rdf:type schema:CreativeWork
95 sg:pub.10.1007/978-3-540-47856-0 schema:sameAs https://app.dimensions.ai/details/publication/pub.1022727925
96 https://doi.org/10.1007/978-3-540-47856-0
97 rdf:type schema:CreativeWork
98 sg:pub.10.1007/bf01450498 schema:sameAs https://app.dimensions.ai/details/publication/pub.1006728418
99 https://doi.org/10.1007/bf01450498
100 rdf:type schema:CreativeWork
101 sg:pub.10.1007/bfb0070852 schema:sameAs https://app.dimensions.ai/details/publication/pub.1030151346
102 https://doi.org/10.1007/bfb0070852
103 rdf:type schema:CreativeWork
104 sg:pub.10.1007/s00245-008-9044-y schema:sameAs https://app.dimensions.ai/details/publication/pub.1040643981
105 https://doi.org/10.1007/s00245-008-9044-y
106 rdf:type schema:CreativeWork
107 sg:pub.10.1007/s00780-007-0047-3 schema:sameAs https://app.dimensions.ai/details/publication/pub.1047381882
108 https://doi.org/10.1007/s00780-007-0047-3
109 rdf:type schema:CreativeWork
110 sg:pub.10.1007/s00780-008-0066-8 schema:sameAs https://app.dimensions.ai/details/publication/pub.1038079220
111 https://doi.org/10.1007/s00780-008-0066-8
112 rdf:type schema:CreativeWork
113 sg:pub.10.1007/s007800050050 schema:sameAs https://app.dimensions.ai/details/publication/pub.1026257025
114 https://doi.org/10.1007/s007800050050
115 rdf:type schema:CreativeWork
116 https://app.dimensions.ai/details/publication/pub.1022727925 schema:CreativeWork
117 https://doi.org/10.1016/j.spl.2005.04.060 schema:sameAs https://app.dimensions.ai/details/publication/pub.1032875995
118 rdf:type schema:CreativeWork
119 https://doi.org/10.1016/s1570-8659(08)00003-3 schema:sameAs https://app.dimensions.ai/details/publication/pub.1004369199
120 rdf:type schema:CreativeWork
121 https://doi.org/10.1017/s1365100597003039 schema:sameAs https://app.dimensions.ai/details/publication/pub.1053805505
122 rdf:type schema:CreativeWork
123 https://doi.org/10.1080/07362990600870488 schema:sameAs https://app.dimensions.ai/details/publication/pub.1010835822
124 rdf:type schema:CreativeWork
125 https://doi.org/10.1080/14697680903008751 schema:sameAs https://app.dimensions.ai/details/publication/pub.1032061600
126 rdf:type schema:CreativeWork
127 https://doi.org/10.1111/1467-9965.00089 schema:sameAs https://app.dimensions.ai/details/publication/pub.1029475369
128 rdf:type schema:CreativeWork
129 https://doi.org/10.1111/j.1467-9965.1993.tb00044.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1037078289
130 rdf:type schema:CreativeWork
131 https://doi.org/10.1111/j.1540-6261.1991.tb02675.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1026419886
132 rdf:type schema:CreativeWork
133 https://doi.org/10.1111/mafi.12057 schema:sameAs https://app.dimensions.ai/details/publication/pub.1018887867
134 rdf:type schema:CreativeWork
135 https://doi.org/10.1137/0325086 schema:sameAs https://app.dimensions.ai/details/publication/pub.1062844010
136 rdf:type schema:CreativeWork
137 https://doi.org/10.1137/09077878x schema:sameAs https://app.dimensions.ai/details/publication/pub.1062856955
138 rdf:type schema:CreativeWork
139 https://doi.org/10.1142/s0219024905002767 schema:sameAs https://app.dimensions.ai/details/publication/pub.1062986012
140 rdf:type schema:CreativeWork
141 https://doi.org/10.1214/10-aop614 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064391468
142 rdf:type schema:CreativeWork
143 https://doi.org/10.1214/11-aap767 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064391997
144 rdf:type schema:CreativeWork
145 https://doi.org/10.1214/aoap/1029962818 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064397643
146 rdf:type schema:CreativeWork
147 https://doi.org/10.1239/aap/1158684997 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064440736
148 rdf:type schema:CreativeWork
149 https://doi.org/10.2307/1912278 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069640079
150 rdf:type schema:CreativeWork
151 https://doi.org/10.2307/2331365 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069893210
152 rdf:type schema:CreativeWork
153 https://www.grid.ac/institutes/grid.4991.5 schema:alternateName University of Oxford
154 schema:name Mathematical Institute and Oxford-Man Institute of Quantitative Finance, University of Oxford, 24-29 St Giles, OX1 3LB, Oxford, UK
155 rdf:type schema:Organization
 




Preview window. Press ESC to close (or click here)


...