Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio

Preprint English OPEN
Agarwal , Ankush ; Sircar , Ronnie (2017)
  • Publisher: HAL CCSD
  • Subject: AMS (2010) classification.91G10, 91G80 | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Quantitative Finance - Portfolio Management | local volatility | drawdown | and phrases portfolio optimization | portfolio optimization | [ QFIN.CP ] Quantitative Finance [q-fin]/Computational Finance [q-fin.CP] | stochastic volatility | 91G10, 91G80

We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio drawdown constraint, in a market with local stochastic volatility (LSV). In ... View more
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