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"Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio."

Ankush Agarwal, Ronnie Sircar (2018)

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DOI: 10.1137/16M1100861

access: closed

type: Journal Article

metadata version: 2018-11-30

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  - https://dblp.org/rec/journals/siamfm/AgarwalS18
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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