Nystrup, Peter; Boyd, Stephen; Lindström, Erik; Madsen, Henrik Multi-period portfolio selection with drawdown control. (English) Zbl 1430.91088 Ann. Oper. Res. 282, No. 1-2, 245-271 (2019). MSC: 91G10 93B45 93E20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Nystrup, Peter; Madsen, Henrik; Lindström, Erik Dynamic portfolio optimization across hidden market regimes. (English) Zbl 1471.91509 Quant. Finance 18, No. 1, 83-95 (2018). MSC: 91G10 93B45 93E20 × Cite Format Result Cite Review PDF Full Text: DOI Link