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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

Mathematical ProgrammingEconomicsPortfolio OptimizationNon-linear Drawdown ConstraintsAsset PricingPortfolio OptimisationSemimartingale Financial ModelManagementBusinessPortfolio ManagementIntertemporal Portfolio ChoiceFinancial EngineeringPortfolio AllocationFinancePortfolio Choice