英文标题：
《Optimal Investment to Minimize the Probability of Drawdown》
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作者：
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
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最新提交年份：
2016
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英文摘要：
We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is subject to a payout that is a deterministic function of its value, as might be the case for an endowment fund paying at a specified rate, for example, at a constant rate or at a rate that is proportional to the fund\'s value.
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中文摘要：
我们在Black-Scholes金融市场中确定最优投资策略，以最小化所谓的{\\it Drawing probability of drawdown}，即投资组合的价值达到其迄今为止最大价值的某个固定比例的概率。我们假设投资组合的支出是其价值的确定函数，就像捐赠基金以特定利率支付一样，例如，以固定利率或与基金价值成比例的利率支付。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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