Portfolio benchmarking under drawdown constraint and stochastic sharpe ratio

Keyphrases

• Sharpe Ratio 100%
• Drawdown Constraint 100%
• Value Function 50%
• Incomplete Market Models 50%
• Regularity Properties 50%
• Volatility 50%
• Running Maximum 50%
• Expansion Method 50%
• Relative Wealth 50%
• Nonlinear Transformation 50%
• Closed-form Formula 50%
• Constant Volatility 50%
• Risk Tolerance 50%
• Tolerance Function 50%
• Expected Utility 50%
• Local Volatility 50%
• Finite Time Horizon 50%
• Volatility Modelling 50%
• Portfolio Strategy 50%
• New Investors 50%
• Wealth Process 50%
• Optimal Portfolio Strategy 50%

Mathematics

• Stochastics 100%
• Finite Time 100%
• Stochastic Volatility 100%
• Closed Form 100%
• Regularity Property 100%
• Function Value 100%
• Form Formula 100%
• Sharpe Ratio 100%
• Benchmarking 100%

Economics, Econometrics and Finance

• Investors 100%
• Volatility 75%
• Wealth 50%
• Incomplete Market 25%