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q-fin.PM2016
Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
Ankush Agarwal, Ronnie Sircar
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and unde…
q-fin.PM2014
Optimal Investment with Transaction Costs and Stochastic Volatility
Maxim Bichuch, Ronnie Sircar
Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility…