Optimal investment to minimize the probability of drawdown - Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. (Stochastics (Abingdon, Eng. : 2005), 2016)
Keywords: Constants; Economic models; Financing; Investment; Investment policy; Investment strategy; Markets; Optimal investment; Optimization; Probability; probability of drawdown; Probability theory; Randomness; stochastic optimal control