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Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
Agarwal, Ankush, Sircar, RonnieVolume:
9
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/16M1100861
Date:
January, 2018
File:
PDF, 494 KB
english, 2018