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


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