works on
benchmark tracking 1drawdown duration 1portfolio optimization 1reflected diffusion 1stochastic control 1

From the 1 of 1 linked paper with an AI index.

collaborators

1 paper

q-fin.MF2026

Minimizing Benchmark-Relative Drawdown Duration via Occupation Time Penalization

Jun Sekine, Marcus Wunsch

The paper formulates a continuous‑time portfolio optimization problem that penalizes the expected discounted time an investor’s wealth lags behind a non‑replicable benchmark, deriv…