OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
作者： Sanford J. Grossman , Zhongquan Zhou
DOI: 10.1111/J.1467-9965.1993.TB00044.X
关键词:
摘要: … We analyze the optimal risky investment policy for an investor who, at … , the optimal policy involves an investment in risky assets at time tin proportion to the “surplus” U: - aM,. The optimal …
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