He, Jin’an; Peng, Fangping; Xie, Xiuying Risk-adjusted exponential gradient strategies for online portfolio selection. (English) Zbl 07929156 J. Comb. Optim. 48, No. 1, Paper No. 2, 25 p. (2024). MSC: 90Cxx × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Yakun; Li, Jingchao; Zhou, Jieming; Deng, Yingchun Optimal investment and reinsurance to maximize the probability of drawup before drawdown. (English) Zbl 07927851 Methodol. Comput. Appl. Probab. 26, No. 3, Paper No. 33, 34 p. (2024). MSC: 60H30 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Lingfei; Zeng, Pingping; Zhang, Gongqiu Speed and duration of drawdown under general Markov models. (English) Zbl 07885174 Quant. Finance 24, No. 3-4, 367-386 (2024). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Xuxin; Tian, Linlin Optimal reinsurance and investment problems to minimize the probability of drawdown. (English) Zbl 07882641 J. Ind. Manag. Optim. 20, No. 10, 3148-3164 (2024). MSC: 60H30 91Gxx × Cite Format Result Cite Review PDF Full Text: DOI
Hernández-Hernández, Daniel; Treviño-Aguilar, Erick Drawdown constraint for long-term investments under partial information. (English) Zbl 1541.91226 Pure Appl. Funct. Anal. 9, No. 3, 655-673 (2024). MSC: 91G10 93E20 49L20 × Cite Format Result Cite Review PDF Full Text: Link
Tanana, Anastasiya Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets. (English) Zbl 1530.91556 Ann. Appl. Probab. 33, No. 5, 4127-4162 (2023). MSC: 91G15 93E20 91G80 91B16 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Mei, Xiaoling; Wang, Yachong; Zhu, Weixuan Bayesian nonparametric portfolio selection with rolling maximum drawdown control. (English) Zbl 1530.91533 Quant. Finance 23, No. 10, 1497-1510 (2023). MSC: 91G10 93B45 62M05 × Cite Format Result Cite Review PDF Full Text: DOI
Ding, Rui f-Betas and portfolio optimization with f-divergence induced risk measures. (English) Zbl 1530.91524 Quant. Finance 23, No. 10, 1483-1496 (2023); correction ibid. 23, No. 11, 11 (2023). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Gongqiu; Li, Lingfei A general approach for lookback option pricing under Markov models. (English) Zbl 1531.91277 Quant. Finance 23, No. 9, 1305-1324 (2023). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 91G60 65D32 65C40 91G20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Liang, Zongxia; Luo, Xiaodong; Yuan, Fengyi Consumption-investment decisions with endogenous reference point and drawdown constraint. (English) Zbl 1520.91229 Math. Financ. Econ. 17, No. 2, 285-334 (2023). MSC: 91B42 91G15 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Gongqiu; Li, Lingfei A general method for analysis and valuation of drawdown risk. (English) Zbl 1518.91268 J. Econ. Dyn. Control 152, Article ID 104669, 37 p. (2023). MSC: 91G15 91G20 60J28 44A10 60G51 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Masala, Giovanni; Petroni, Filippo Drawdown risk measures for asset portfolios with high frequency data. (English) Zbl 1520.91374 Ann. Finance 19, No. 2, 265-289 (2023). MSC: 91G10 91G70 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Azcue, Pablo; Liang, Xiaoqing; Muler, Nora; Young, Virginia R. Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle: asymptotic analysis. (English) Zbl 1511.91112 SIAM J. Financ. Math. 14, No. 1, 279-313 (2023). MSC: 91G05 93E20 35B51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Surya, Budhi; Wang, Wenyuan; Zhao, Xianghua; Zhou, Xiaowen Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process. (English) Zbl 1511.91119 Scand. Actuar. J. 2023, No. 2, 97-122 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60G51 60J35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Hernández-Bustos, Diego; Hernández-Hernández, Daniel Portfolio management under drawdown constraint in discrete-time financial markets. (English) Zbl 1508.91503 J. Appl. Probab. 60, No. 1, 127-147 (2023). MSC: 91G10 90C40 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Xun; Yu, Xiang; Zhang, Qinyi Optimal consumption and life insurance under shortfall aversion and a drawdown constraint. (English) Zbl 1507.91188 Insur. Math. Econ. 108, 25-45 (2023). MSC: 91G05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Li, Shu; Zhou, Xiaowen The Parisian and ultimate drawdowns of Lévy insurance models. (English) Zbl 1508.91478 Insur. Math. Econ. 107, 140-160 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60G51 × Cite Format Result Cite Review PDF Full Text: DOI
Al-Ali, S.; Hocking, G. C.; Farrow, D. E.; Zhang, H. A spectral modelling approach for fluid flow into a line sink in a confined aquifer. (English) Zbl 1503.76069 Eur. J. Appl. Math. 33, No. 5, 960-981 (2022). MSC: 76M22 76S05 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Libo Characterisation of honest times and optional semimartingales of class-\((\Sigma)\). (English) Zbl 1515.60120 J. Theor. Probab. 35, No. 4, 2145-2175 (2022). MSC: 60G44 60G40 60G07 91G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Yuan, Yu; Liang, Zhibin; Han, Xia Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion. (English) Zbl 1503.91094 Math. Methods Oper. Res. 96, No. 2, 259-290 (2022). MSC: 91G05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
González Cázares, Jorge; Mijatović, Aleksandar Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. (English) Zbl 1498.91494 Finance Stoch. 26, No. 4, 671-732 (2022). MSC: 91G60 65C05 60G51 60G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Han, Xia; Liang, Zhibin; Yuan, Yu; Zhang, Caibin Optimal per-loss reinsurance and investment to minimize the probability of drawdown. (English) Zbl 1513.91060 J. Ind. Manag. Optim. 18, No. 6, 4011-4041 (2022). MSC: 91G05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Ding, Rui; Uryasev, Stan Drawdown beta and portfolio optimization. (English) Zbl 1497.91274 Quant. Finance 22, No. 7, 1265-1276 (2022); correction ibid. 22, No. 7, ei (2022). MSC: 91G10 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Brinker, Leonie Violetta; Schmidli, Hanspeter Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance. (English) Zbl 1489.91215 J. Appl. Probab. 59, No. 2, 527-540 (2022). MSC: 91G05 93E20 60G44 60J60 × Cite Format Result Cite Review PDF Full Text: DOI
Gapeev, Pavel V. Perpetual American double lookback options on drawdowns and drawups with floating strikes. (English) Zbl 1489.91259 Methodol. Comput. Appl. Probab. 24, No. 2, 749-788 (2022). MSC: 91G20 60J60 91B70 60G40 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Yuan, Yu; Liang, Zhibin; Han, Xia Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs. (English) Zbl 1499.91103 J. Ind. Manag. Optim. 18, No. 2, 933-967 (2022). MSC: 91G05 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Wenyuan; Xu, Ran General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes. (English) Zbl 1499.60152 J. Ind. Manag. Optim. 18, No. 2, 795-823 (2022). MSC: 60G51 91G50 60E10 × Cite Format Result Cite Review PDF Full Text: DOI
Jeon, Junkee; Oh, Jehan Finite horizon portfolio selection problem with a drawdown constraint on consumption. (English) Zbl 1471.91501 J. Math. Anal. Appl. 506, No. 1, Article ID 125542, 41 p. (2022). MSC: 91G10 35Q91 60G40 × Cite Format Result Cite Review PDF Full Text: DOI
Yuan, Yu; Li, Qicai Maximizing the goal-reaching probability before drawdown with borrowing constraint. (English) Zbl 1485.91217 AIMS Math. 6, No. 8, 8868-8882 (2021). MSC: 91G10 49L20 60H30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Zhao, Yuying; Wen, Yuzhen Optimal investment and proportional reinsurance strategies to minimize the probability of drawdown under ambiguity aversion. (Chinese. English summary) Zbl 1488.91111 Acta Math. Sci., Ser. A, Chin. Ed. 41, No. 4, 1147-1165 (2021). MSC: 91G05 91G10 × Cite Format Result Cite Review PDF
Avram, Florin; Li, Bin; Li, Shu General drawdown of general tax model in a time-homogeneous Markov framework. (English) Zbl 1475.60076 J. Appl. Probab. 58, No. 4, 1131-1151 (2021). MSC: 60G40 60G17 91G05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Landriault, David; Li, Bin; Lkabous, Mohamed Amine On the analysis of deep drawdowns for the Lévy insurance risk model. (English) Zbl 1478.91165 Insur. Math. Econ. 100, 147-155 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 60G51 × Cite Format Result Cite Review PDF Full Text: DOI Link
Mantilla-Garcia, Daniel; Ter Horst, Enrique A.; Audeguil, Emilien; Molina, German Asset dependency structures and portfolio insurance strategies. (English) Zbl 1470.91246 Int. J. Theor. Appl. Finance 24, No. 3, Article ID 2150016, 28 p. (2021). Reviewer: George Stoica (Saint John) MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Man; Wu, Xianyuan; Zhou, Xiaowen A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process. (English) Zbl 1469.60144 Front. Math. China 16, No. 2, 325-343 (2021). MSC: 60G51 31C45 47A68 × Cite Format Result Cite Review PDF Full Text: DOI
Vardar-Acar, Ceren; Çağlar, Mine; Avram, Florin Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes. (English) Zbl 1491.60065 J. Theor. Probab. 34, No. 3, 1486-1505 (2021). Reviewer: Antonis Papapantoleon (Delft) MSC: 60G51 60G17 60J35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Jeon, Junkee; Park, Kyunghyun Portfolio selection with drawdown constraint on consumption: a generalization model. (English) Zbl 1468.91136 Math. Methods Oper. Res. 93, No. 2, 243-289 (2021). MSC: 91G10 60G44 91B16 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Xiang; Li, Lingfei; Zhang, Gongqiu Pricing American drawdown options under Markov models. (English) Zbl 1487.91143 Eur. J. Oper. Res. 293, No. 3, 1188-1205 (2021). MSC: 91G20 60G40 60G51 60J27 90C33 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Leung, Tim; Zhang, Hongzhong Optimal trading with a trailing stop. (English) Zbl 1471.91545 Appl. Math. Optim. 83, No. 2, 669-698 (2021). MSC: 91G15 60G40 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Wang, Wenyuan; Zhou, Xiaowen A drawdown reflected spectrally negative Lévy process. (English) Zbl 1469.60151 J. Theor. Probab. 34, No. 1, 283-306 (2021). MSC: 60G51 60E10 60J35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
D’Amico, Guglielmo; Di Basilio, Bice; Petroni, Filippo A semi-Markovian approach to drawdown-based measures. (English) Zbl 07843137 Adv. Complex Syst. 23, No. 8, Article ID 2050020, 28 p. (2020). MSC: 91-XX 60K15 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Rodosthenous, Neofytos; Zhang, Hongzhong When to sell an asset amid anxiety about drawdowns. (English) Zbl 1508.91585 Math. Finance 30, No. 4, 1422-1460 (2020). MSC: 91G30 60G51 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Ramazanov, A. Sh.; Bezrukov, N. V. Transient formation temperature field during well operation in a constant pressure drawdown mode. (English. Russian original) Zbl 1454.80006 J. Appl. Mech. Tech. Phys. 61, No. 6, 925-929 (2020); translation from Prikl. Mekh. Tekh. Fiz. 61, No. 6, 24-28 (2020). MSC: 80A19 76S05 × Cite Format Result Cite Review PDF Full Text: DOI
Han, Xia; Liang, Zhibin; Young, Virginia R. Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle. (English) Zbl 1454.91191 Scand. Actuar. J. 2020, No. 10, 879-903 (2020). MSC: 91G05 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Avram, Florin; Grahovac, Danijel; Vardar-Acar, Ceren The \(W, Z\) scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems. (English) Zbl 1461.60028 ESAIM, Probab. Stat. 24, 454-525 (2020). MSC: 60G51 60G40 60J45 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Salminen, Paavo; Vallois, Pierre On the maximum increase and decrease of one-dimensional diffusions. (English) Zbl 1450.60042 Stochastic Processes Appl. 130, No. 9, 5592-5604 (2020). MSC: 60J60 60J65 60G17 62P05 × Cite Format Result Cite Review PDF Full Text: DOI Link
Palmowski, Zbigniew; Surya, Budhi A. Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process. (English) Zbl 1446.91070 Insur. Math. Econ. 93, 168-177 (2020). MSC: 91G05 60G51 91G40 91G20 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Piret, Cécile; Dissanayake, Nadun; Gierke, John S.; Fornberg, Bengt The radial basis functions method for improved numerical approximations of geological processes in heterogeneous systems. (English) Zbl 1436.65019 Math. Geosci. 52, No. 4, 477-497 (2020). MSC: 65D12 86-08 × Cite Format Result Cite Review PDF Full Text: DOI
Palmowski, Zbigniew; Tumilewicz, Joanna Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions. (English) Zbl 1436.91112 Appl. Math. Optim. 81, No. 2, 301-347 (2020). MSC: 91G30 91G80 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
Wang, Wenyuan; Chen, Ping; Li, Shuanming Generalized expected discounted penalty function at general drawdown for Lévy risk processes. (English) Zbl 1435.91162 Insur. Math. Econ. 91, 12-25 (2020). MSC: 91G05 60G51 60K10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhou, Wei; Zhong, Guang-Yan; Leng, Na; Li, Jiang-Cheng; Xiong, De-Ping Dynamic behaviors and measurements of financial market crash rate. (English) Zbl 07568364 Physica A 527, Article ID 121427, 15 p. (2019). MSC: 91G40 × Cite Format Result Cite Review PDF Full Text: DOI
Vince, Ralph Expectation and optimal \(f\): expected growth with and without reinvestment for discretely-distributed outcomes of finite length as a basis in evolutionary decision-making. (English) Zbl 1490.91194 Far East J. Theor. Stat. 56, No. 1, 69-91 (2019). MSC: 91G10 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
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
Dassios, Angelos; Lim, Jia Wei A variation of the Azéma martingale and drawdown options. (English) Zbl 1428.91017 Math. Finance 29, No. 4, 1116-1130 (2019). MSC: 91G20 60G44 × Cite Format Result Cite Review PDF Full Text: DOI Link
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. Optimal dividend distribution under drawdown and ratcheting constraints on dividend rates. (English) Zbl 1427.91290 SIAM J. Financ. Math. 10, No. 2, 547-577 (2019). MSC: 91G50 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Bai, Long; Liu, Peng Drawdown and drawup for fractional Brownian motion with trend. (English) Zbl 1478.60121 J. Theor. Probab. 32, No. 3, 1581-1612 (2019). MSC: 60G22 60G15 60G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Lin, Chuangwei; Zeng, Li; Wu, Huiling Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase. (English) Zbl 1415.91267 J. Ind. Manag. Optim. 15, No. 1, 401-427 (2019). MSC: 91G10 91G80 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Liu, Zhijun; Liu, Ruijie A fully implicit and consistent finite element framework for modeling reservoir compaction with large deformation and nonlinear flow model. II: Verification and numerical example. (English) Zbl 1405.86006 Comput. Geosci. 22, No. 3, 639-656 (2018). MSC: 86-08 65M60 74L10 76S05 86A60 × Cite Format Result Cite Review PDF Full Text: DOI
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. (English) Zbl 1418.91240 Scand. Actuar. J. 2018, No. 10, 863-889 (2018). MSC: 91B30 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Möller, Philipp M. Drawdown measures and return moments. (English) Zbl 1417.91471 Int. J. Theor. Appl. Finance 21, No. 7, Article ID 1850042, 42 p. (2018). MSC: 91G10 60G51 62M10 91B30 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
MacDonald, Bonnie-Jeanne; Morrison, Richard J.; Avery, Marvin; Osberg, Lars Drawing down retirement savings – do pensions, taxes and government transfers matter much for optimal decisions? (English) Zbl 1416.91207 ASTIN Bull. 48, No. 3, 1277-1306 (2018). MSC: 91B30 91B64 × Cite Format Result Cite Review PDF Full Text: DOI
Wang, Wenyuan; Zhou, Xiaowen General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes. (English) Zbl 1396.91314 J. Appl. Probab. 55, No. 2, 513-542 (2018). MSC: 91B30 60G51 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Agarwal, Ankush; Sircar, Ronnie Portfolio benchmarking under drawdown constraint and stochastic Sharpe ratio. (English) Zbl 1410.91406 SIAM J. Financ. Math. 9, No. 2, 435-464 (2018). MSC: 91G10 91G60 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Landriault, David; Li, Bin; Li, Shu Expected utility of the drawdown-based regime-switching risk model with state-dependent termination. (English) Zbl 1401.91158 Insur. Math. Econ. 79, 137-147 (2018). MSC: 91B30 60J20 60G51 × Cite Format Result Cite Review PDF Full Text: DOI Link
Palmowski, Zbigniew; Tumilewicz, Joanna Pricing insurance drawdown-type contracts with underlying Lévy assets. (English) Zbl 1400.91251 Insur. Math. Econ. 79, 1-14 (2018). MSC: 91B30 60G51 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Dassios, Angelos; Lim, Jia Wei An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion. (English) Zbl 1409.91232 Methodol. Comput. Appl. Probab. 20, No. 1, 189-204 (2018). MSC: 91G20 91G60 65C05 65C50 60G40 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Cui, Zhenyu; Nguyen, Duy Magnitude and speed of consecutive market crashes in a diffusion model. (English) Zbl 1382.60065 Methodol. Comput. Appl. Probab. 20, No. 1, 117-135 (2018). MSC: 60G44 91B25 91B70 × Cite Format Result Cite Review PDF Full Text: DOI
Landriault, David; Li, Bin; Zhang, Hongzhong A unified approach for drawdown (drawup) of time-homogeneous Markov processes. (English) Zbl 1400.60044 J. Appl. Probab. 54, No. 2, 603-626 (2017). MSC: 60G07 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Landriault, David; Li, Bin; Li, Shu Drawdown analysis for the renewal insurance risk process. (English) Zbl 1401.91159 Scand. Actuar. J. 2017, No. 3, 267-285 (2017). MSC: 91B30 60K10 × Cite Format Result Cite Review PDF Full Text: DOI
Goldberg, Lisa R.; Mahmoud, Ola Drawdown: from practice to theory and back again. (English) Zbl 1415.91260 Math. Financ. Econ. 11, No. 3, 275-297 (2017). MSC: 91G10 62P05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Vardar-Acar, Ceren; Çağlar, Mine Maximum loss and maximum gain of spectrally negative Lévy processes. (English) Zbl 1373.60074 Extremes 20, No. 2, 301-308 (2017). MSC: 60G17 60G70 60G35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Baurdoux, E. J.; Palmowski, Z.; Pistorius, M. R. On future drawdowns of Lévy processes. (English) Zbl 1367.60051 Stochastic Processes Appl. 127, No. 8, 2679-2698 (2017). MSC: 60G51 60F99 60J99 60K25 91G80 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
O’Driscoll, Patrick Johnson A modern two-stage stochastic programming portfolio model for an oil refinery with financial risk management. (English) Zbl 1362.90394 Int. J. Oper. Res. 28, No. 1, 121-140 (2017). MSC: 90C90 90C15 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard The numéraire property and long-term growth optimality for drawdown-constrained investments. (English) Zbl 1414.91344 Math. Finance 27, No. 1, 68-95 (2017). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91G10 60G44 60H30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Landriault, David; Li, Bin; Zhang, Hongzhong On magnitude, asymptotics and duration of drawdowns for Lévy models. (English) Zbl 1407.60067 Bernoulli 23, No. 1, 432-458 (2017). MSC: 60G51 60G40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. Optimal investment to minimize the probability of drawdown. (English) Zbl 1367.91162 Stochastics 88, No. 6, 946-958 (2016). MSC: 91G10 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. Minimizing the probability of lifetime drawdown under constant consumption. (English) Zbl 1369.91160 Insur. Math. Econ. 69, 210-223 (2016). MSC: 91G10 60G40 93E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pfaff, Bernhard Financial risk modelling and portfolio optimization with R. 2nd edition. (English) Zbl 1347.91002 Statistics in Practice. Hoboken, NJ: John Wiley & Sons (ISBN 978-1-119-11966-1/hbk; 978-1-119-11968-5/ebook). xvii, 426 p. (2016). MSC: 91-01 91G10 91-04 62P05 62M10 91B70 91B84 91G60 91G70 × Cite Format Result Cite Review PDF Full Text: DOI Link
Gapeev, Pavel V.; Rodosthenous, Neofytos Perpetual American options in diffusion-type models with running maxima and drawdowns. (English) Zbl 1337.60072 Stochastic Processes Appl. 126, No. 7, 2038-2061 (2016). MSC: 60G40 60J60 60J65 91G20 91B25 34K10 34L30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gapeev, Pavel V.; Rodosthenous, Neofytos On the drawdowns and drawups in diffusion-type models with running maxima and minima. (English) Zbl 1329.60229 J. Math. Anal. Appl. 434, No. 1, 413-431 (2016). MSC: 60H30 60G40 91G70 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Ben-Salah, Zied; Guérin, Hélène; Morales, Manuel; Omidi Firouzi, Hassan On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory. (English) Zbl 1396.91292 Eur. Actuar. J. 5, No. 2, 381-425 (2015). Reviewer: Tamás Mátrai (Budapest) MSC: 91B30 60J75 60G51 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Chen, Xinfu; Landriault, David; Li, Bin; Li, Dongchen On minimizing drawdown risks of lifetime investments. (English) Zbl 1348.91249 Insur. Math. Econ. 65, 46-54 (2015). MSC: 91G10 91B30 60H30 × Cite Format Result Cite Review PDF Full Text: DOI
Hu, Yueyun; Shi, Zhan; Yor, Marc The maximal drawdown of the Brownian meander. (English) Zbl 1325.60134 Electron. Commun. Probab. 20, Paper No. 39, 6 p. (2015). MSC: 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Hongzhong Occupation times, drawdowns, and drawups for one-dimensional regular diffusions. (English) Zbl 1310.60114 Adv. Appl. Probab. 47, No. 1, 210-230 (2015). MSC: 60J60 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Landriault, David; Li, Bin; Li, Shu Analysis of a drawdown-based regime-switching Lévy insurance model. (English) Zbl 1308.91086 Insur. Math. Econ. 60, 98-107 (2015). MSC: 91B30 60G40 60G51 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Zabarankin, Michael; Pavlikov, Konstantin; Uryasev, Stan Capital asset pricing model (CAPM) with drawdown measure. (English) Zbl 1304.91212 Eur. J. Oper. Res. 234, No. 2, 508-517 (2014). MSC: 91G10 91B25 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Gapeev, Pavel V.; Rodosthenous, Neofytos Optimal stopping problems in diffusion-type models with running maxima and drawdowns. (English) Zbl 1312.60044 J. Appl. Probab. 51, No. 3, 799-817 (2014). MSC: 60G40 60J60 60J65 35R35 34K10 34L30 91B25 91B70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Rieder, Ulrich; Wittlinger, Marc On optimal terminal wealth problems with random trading times and drawdown constraints. (English) Zbl 1286.93207 Adv. Appl. Probab. 46, No. 1, 121-138 (2014). MSC: 93E20 60G51 90C40 91G10 91G80 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Yao, Haixiang; Lai, Yongzeng; Ma, Qinghua; Zheng, Huabao Characterization of efficient frontier for mean-variance model with a drawdown constraint. (English) Zbl 1329.91127 Appl. Math. Comput. 220, 770-782 (2013). MSC: 91G10 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Hongzhong; Leung, Tim; Hadjiliadis, Olympia Stochastic modeling and fair valuation of drawdown insurance. (English) Zbl 1290.91105 Insur. Math. Econ. 53, No. 3, 840-850 (2013). MSC: 91B30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Caglar, Mine; Vardar-Acar, Ceren Distribution of maximum loss of fractional Brownian motion with drift. (English) Zbl 1293.60045 Stat. Probab. Lett. 83, No. 12, 2729-2734 (2013). MSC: 60G22 60G70 60F10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Sekine, Jun Long-term optimal investment with a generalized drawdown constraint. (English) Zbl 1280.91157 SIAM J. Financ. Math. 4, 452-473 (2013). MSC: 91G10 91G80 93E20 × Cite Format Result Cite Review PDF Full Text: DOI
Cherny, Vladimir; Obłój, Jan Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model. (English) Zbl 1279.91144 Finance Stoch. 17, No. 4, 771-800 (2013). Reviewer: Yuri Kifer (Jerusalem) MSC: 91G10 60G44 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Pfaff, Bernhard Financial risk modelling and portfolio optimization with R. (English) Zbl 1275.91006 Statistics in Practice. Hoboken, NJ: John Wiley & Sons (ISBN 978-0-470-97870-2/hbk; 978-1-118-47712-0/ebook). xvi, 356 p. (2013). Reviewer: Tamás Mátrai (Budapest) MSC: 91-02 91G10 62P05 62M10 91B70 91B84 91G60 91G70 × Cite Format Result Cite Review PDF
Shagapov, V. Sh.; Nurislamov, O. R.; Khabibullina, A. R. Boiling of a liquid in a porous medium under a pressure drawdown influence. (English. Russian original) Zbl 1298.76216 J. Appl. Mech. Tech. Phys. 53, No. 3, 422-431 (2012); translation from Prikl. Mekh. Tekh. Fiz. 53, No. 3, 133-143 (2012). MSC: 76T30 76S05 80A22 80A20 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Hongzhong; Hadjiliadis, Olympia Drawdowns and the speed of market crash. (English) Zbl 1282.91396 Methodol. Comput. Appl. Probab. 14, No. 3, 739-752 (2012). MSC: 91G80 60G40 60H30 60J70 × Cite Format Result Cite Review PDF Full Text: DOI
Mijatović, Aleksandar; Pistorius, Martijn R. On the drawdown of completely asymmetric Lévy processes. (English) Zbl 1252.60046 Stochastic Processes Appl. 122, No. 11, 3812-3836 (2012). MSC: 60G51 60G17 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Carraro, Laurent; El Karoui, Nicole; Obłój, Jan On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation. (English) Zbl 1239.60031 Ann. Probab. 40, No. 1, 372-400 (2012). Reviewer: Dominique Lepingle (Orléans) MSC: 60G44 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Carr, Peter; Zhang, Hongzhong; Hadjiliadis, Olympia Maximum drawdown insurance. (English) Zbl 1233.91115 Int. J. Theor. Appl. Finance 14, No. 8, 1195-1230 (2011). MSC: 91B25 91G20 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko Probability distribution and option pricing for drawdown in a stochastic volatility environment. (English) Zbl 1203.91299 Int. J. Theor. Appl. Finance 13, No. 2, 335-354 (2010). MSC: 91G20 91B70 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Rebonato, Riccardo; Chen, Jian Evidence for state transition and altered serial codependence in US$ interest rates. (English) Zbl 1169.91376 Quant. Finance 9, No. 3, 259-278 (2009). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI