A note on long-term optimal portfolios under drawdown constraints
A note on long-term optimal portfolios under drawdown constraints
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DOI：
10.1239/aap/1158684997
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发表时间：
2006-09
影响因子：
1.2
通讯作者：
J. Sekine
中科院分区：
文献类型：
--
作者：
J. Sekine
考虑了在削减约束下期望效用长期增长率的最大化问题。在一般情况下，该问题的价值和最优策略与另一个“标准”风险敏感型投资组合优化问题的价值和最优策略相关。此外，大偏差概率的倒置机会最大化问题被称为“对偶”优化问题。作为一个例子，一个“线性二次”模型进行了详细研究：条件，以确保问题的可解性进行了讨论，并提出了明确的表达式的解决方案。
The maximization of the long-term growth rate of expected utility is considered under drawdown constraints. In a general situation, the value and the optimal strategy of the problem are related to those of another ‘standard’ risk-sensitive-type portfolio optimization problem. Furthermore, an upside-chance maximization problem of a large deviation probability is stated as a ‘dual’ optimization problem. As an example, a ‘linear-quadratic’ model is studied in detail: the conditions to ensure the solvabilities of the problems are discussed and explicit expressions for the solutions are presented.