Título:

Portfolio Selection with a Drawdown Constraint

Autores:

Gordon Alexander (U Minnesota)
Alexandre M. Baptista (George Washington U)

Revista:

Journal of Banking and Finance

Ano:

2006

Volume:

30

Páginas:

3171-3189

Códigos JEL:

G23 - Pension Funds; Other Private Financial Institutions
G11 - Portfolio Choice; Investment Decisions