2 papers
q-fin.PM2013
Optimal portfolios of a long-term investor with floor or drawdown constraints
Vladimir Cherny, Jan Obloj
We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is ess…
q-fin.PM2011
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Vladimir Cherny, Jan Obloj
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…