Portfolio selection with a drawdown constraint

Portfolio Selection

Harry M. Markowitz · The Journal of Finance · 1952 · 4.5K citations

Dynamic Asset Pricing Theory.

Jonathan E. Ingersoll, Darrell Duffie · The Journal of Finance · 1993 · 3.1K citations

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Vikas Agarwal, Narayan Y. Naik · Review of Financial Studies · 2003 · 1.3K citations

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Mean-Variance Analysis in Portfolio Choice and Capital Markets.

William F. Sharpe, Harry M. Markowitz · The Journal of Finance · 1989 · 1.2K citations

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An Analytic Derivation of the Efficient Portfolio Frontier

Robert C. Merton · Journal of Financial and Quantitative Analysis · 1972 · 1.1K citations · Full text

Business, Economics, Finance +13