Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506, Obłój, Jan and Platen, Eckhard
(2017)
The numéraire property and long-term growth optimality for drawdown-constrained investments.
Mathematical Finance, 27 (1).
pp. 68-95.
ISSN 0960-1627
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Abstract
We consider the portfolio choice problem for a long-run investor in a general continuous semimartingale model. We combine the decision criterion of pathwise growth optimality with a flexible specification of attitude towards risk, encoded by a linear drawdown constraint imposed on admissible wealth processes. We define the constrained numraire property through the notion of expected relative return and prove that drawdown-constrained numéraire portfolio exists and is unique, but may depend on the investment horizon. However, when sampled at the times of its maximum and asymptotically as the time-horizon becomes distant, the drawdown-constrained numéraire portfolio is given explicitly through a model-independent transformation of the unconstrained numéraire portfolio. The asymptotically growth-optimal strategy is obtained as limit of numéraire strategies on finite horizons.
| Item Type: | Article |
|---|---|
| Official URL: | http://onlinelibrary.wiley.com/journal/10.1111/%28... |
| Additional Information: | © 2014 John Wiley & Sons Ltd |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance Q Science > QA Mathematics |
| Date Deposited: | 11 Nov 2014 11:22 |
| Last Modified: | 15 Apr 2024 05:36 |
| Funders: | 2011 Bruti-Liberati Fellowship at University of Technology, Sydney |
| URI: | http://eprints.lse.ac.uk/id/eprint/60132 |
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