On Portfolio Optimization under \ Drawdown " Constraints

  title={On Portfolio Optimization under \ Drawdown " Constraints},
  author={Jaksa Cvitanic and Ioannis Karatzas and March},
We study the problem of portfolio optimization under the \drawdown constraint" that the wealth process never falls below a xed fraction of its maximum-to-date, and one strives to maximize the long-term growth rate of its expected utility. This problem was introduced and solved explicitly by Grossman and Zhou; we present an approach which simpli es and extends their results.