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"Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio."
Ankush Agarwal, Ronnie Sircar (2018)
- Ankush Agarwal, Ronnie Sircar:
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio. SIAM J. Financial Math. 9(2): 435-464 (2018)
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