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Portfolio Management with Drawdown Constraint: An Analysis of Optimal Investment
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-1-4757-2435-6_3openalex-extracted
On Portfolio Optimization under “Drawdown” Constraints
inferredcites →https://doi.org/10.1007/bf00122574openalex-extracted
Advances in prospect theory: Cumulative representation of uncertainty
inferredcites →https://doi.org/10.1007/s00245-008-9044-yopenalex-extracted
Finite Time Merton Strategy under Drawdown Constraint: A Viscosity Solution Approach
inferredcites →https://doi.org/10.1007/s00780-008-0066-8openalex-extracted
Optimal lifetime consumption and investment under a drawdown constraint
inferredcites →https://doi.org/10.1007/s00780-013-0209-4openalex-extracted
Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
inferredcites →https://doi.org/10.1007/s11579-009-0021-2openalex-extracted
Static portfolio choice under Cumulative Prospect Theory
inferredcites →https://doi.org/10.1007/s11579-015-0146-4openalex-extracted
Non-concave utility maximisation on the positive real axis in discrete time
inferredcites →https://doi.org/10.1016/0165-1889(92)90043-eopenalex-extracted
Theory of constant proportion portfolio insurance
inferredcites →https://doi.org/10.1016/0167-2681(95)90015-2openalex-extracted
The influence of probability on risky choice A parametric examination
inferredcites →https://doi.org/10.1016/0304-405x(80)90007-0openalex-extracted
On estimating the expected return on the market
inferredcites →https://doi.org/10.1016/0378-4754(93)e0074-fopenalex-extracted
Euler scheme for reflected stochastic differential equations
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.11.003openalex-extracted
Investment horizon and the attractiveness of investment strategies: A behavioral approach
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.11.012openalex-extracted
Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products
inferredcites →https://doi.org/10.1016/j.jedc.2003.11.005openalex-extracted
Optimal portfolio management with American capital guarantee
inferredcites →https://doi.org/10.1016/j.jedc.2008.01.002openalex-extracted
Asset pricing with loss aversion
inferredcites →https://doi.org/10.1016/j.jedc.2014.05.005openalex-extracted
A dynamic autoregressive expectile for time-invariant portfolio protection strategies
inferredcites →https://doi.org/10.1016/j.jfineco.2004.10.006openalex-extracted
Prospect theory, mental accounting, and momentum
inferredcites →https://doi.org/10.1016/j.spl.2005.04.060openalex-extracted
The Grossman and Zhou investment strategy is not always optimal
inferredcites →https://doi.org/10.1057/palgrave.jam.2240020openalex-extracted
The fallacy of large numbers revisited: The construction of a utility function that leads to the acceptance of two games, while one is rejected
inferredcites →https://doi.org/10.1086/296472openalex-extracted
Portfolio Insurance and Financial Market Equilibrium
inferredcites →https://doi.org/10.1086/296473openalex-extracted
Portfolio Insurance in Complete Markets: A Note
inferredcites →https://doi.org/10.1086/427643openalex-extracted
Portfolio Choice and Trading Volume with Loss‐Averse Investors
inferredcites →https://doi.org/10.1093/rfs/14.2.371openalex-extracted
Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
inferredcites →https://doi.org/10.1111/0022-1082.00205openalex-extracted
Investing for the Long Run when Returns Are Predictable
inferredcites →https://doi.org/10.1111/j.1467-9965.1993.tb00044.xopenalex-extracted
OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
inferredcites →https://doi.org/10.1111/j.1467-9965.2006.00263.xopenalex-extracted
CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00306.xopenalex-extracted
PORTFOLIO MANAGEMENT WITH CONSTRAINTS
inferredcites →https://doi.org/10.1111/j.1467-9965.2008.00339.xopenalex-extracted
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
inferredcites →https://doi.org/10.1111/j.1467-9965.2009.00377.xopenalex-extracted
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
inferredcites →https://doi.org/10.1111/j.1540-6261.1980.tb02190.xopenalex-extracted
Who Should Buy Portfolio Insurance?
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb04073.xopenalex-extracted
Equilibrium Analysis of Portfolio Insurance
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00737.xopenalex-extracted
Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01722.xopenalex-extracted
Are Stocks Really Less Volatile in the Long Run?
inferredcites →https://doi.org/10.1137/08073593xopenalex-extracted
Stochastic Target Problems with Controlled Loss
inferredcites →https://doi.org/10.1137/090757629openalex-extracted
Optimal Control under Stochastic Target Constraints
inferredcites →https://doi.org/10.1162/003355301556310openalex-extracted
Prospect Theory and Asset Prices
inferredcites →https://doi.org/10.1162/0034653043125167openalex-extracted
Optimal Portfolio Choice under Loss Aversion
inferredcites →https://doi.org/10.1287/mnsc.1100.1269openalex-extracted
Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
inferredcites →https://doi.org/10.21314/jcf.2007.163openalex-extracted
Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance
inferredcites →https://doi.org/10.2139/ssrn.1021084openalex-extracted
Constant Proportion Portfolio Insurance in Presence of Jumps in Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.204390openalex-extracted
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.2081665openalex-extracted
On the Optimal Type and Level of Guarantees for Prospect Theory Investors
inferredcites →https://doi.org/10.2139/ssrn.2109551openalex-extracted
Constant Proportion Portfolio Insurance Strategies under Cumulative Prospect Theory with Reference Point Adaptation
inferredcites →https://doi.org/10.2139/ssrn.214569openalex-extracted
Optimal Portfolio Choice Under Loss Aversion
inferredcites →https://doi.org/10.2307/1914185openalex-extracted
Prospect Theory: An Analysis of Decision under Risk
inferredcites →https://doi.org/10.2307/1926560openalex-extracted
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
inferredcites →https://doi.org/10.2307/2118511openalex-extracted
Myopic Loss Aversion and the Equity Premium Puzzle
inferredcites →https://doi.org/10.2307/2676262openalex-extracted
Adding Risks: Samuelson's Fallacy of Large Numbers Revisited
inferredcites →https://doi.org/10.3386/w0444openalex-extracted
On Estimating the Expected Return on the Market: An Exploratory Investigation
inferredcites →https://doi.org/10.3386/w4369openalex-extracted
Myopic Loss Aversion and the Equity Premium Puzzle
inferredcites →https://doi.org/10.1093/rfs/8.4.1059openalex-snapshot
A General Equilibrium Model of Portfolio Insurance
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