We consider the infinite-horizon optimal consumption-investment problem under a
drawdown constraint, ie, when the wealth process never falls below a fixed fraction of its …

A drawdown constraint forces the current wealth to remain above a given function of its
maximum to date. We consider the portfolio optimisation problem of maximising the long …

Drawdown measures the decline of portfolio value from its historic high-water mark. In this
paper, we study a lifetime investment problem aiming at minimizing the risk of drawdown …

Control of drawdown, that is, the control of the drops in wealth over time from peaks to
subsequent lows, is of great concern from a risk management perspective. With this …

The long-term risk-sensitive optimal investment problem is studied with a generalized,
nonlinear drawdown constraint. The optimal solution is constructed, using the solution to the …

Purpose–The purpose of this paper is to present a discrete quantitative trading strategy to
directly control a portfolio's maximum percentage of drawdown losses while trying to …