摘要翻译：
研究了长期投资者期望效用的渐近增长率最大化的投资组合选择问题。我们表明，有点令人惊讶的是，它基本上不受引入下限约束的影响，下限约束要求财富过程在任何时候都控制给定的基准。通过有限时域值函数收敛到渐近最优值，我们进一步研究了财富过程的长期最优性的概念。我们描述了在地板和缩编约束下的长期最优性。
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英文标题：
《Optimal portfolios of a long-term investor with floor or drawdown
  constraints》
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作者：
Vladimir Cherny and Jan Obloj
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint which requires the wealth process to dominate a given benchmark at all times. We further study the notion of long-run optimality of wealth processes via convergence of finite horizon value functions to the asymptotic optimal value. We characterise long-run optimality under floor and drawdown constraints.
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PDF链接：
https://arxiv.org/pdf/1305.6831