"Portfolio optimisation under non-linear drawdown constraints in a ..."

Vladimir Cherny, Jan Oblój (2013)

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DOI: 10.1007/S00780-013-0209-4

access: closed

type: Journal Article

metadata version: 2020-07-22

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Vladimir Cherny, Jan Oblój:
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model. Finance Stochastics 17(4): 771-800 (2013)

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