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The Payoff Distribution Model: An Application to Dynamic Portfolio Insurance

Alexandre Hocquard, Nicolas A. Papageorgiou, Bruno Remillard
<span title="">2009</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
Business, 1988, 61 (3) , 369-393] as a performance measure, into a fund management tool. This approach allows us to generate funds with pre-specified distributional properties.  ...  Specifically, we generate funds that are characterized by a Left Truncated Gaussian distribution and then demonstrate out of sample, using different performance and risk measures, that this approach to  ...  Acknowledgements This work is supported, in part, by the Institut de Finance Mathe´matique de Montre´al (IFM2), by the Fonds pour la formation de chercheurs et l'aide a`la recherche du Gouvernement du  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.1729779">doi:10.2139/ssrn.1729779</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/syqtdjx2bzhmzdgxrxsbi7ztru">fatcat:syqtdjx2bzhmzdgxrxsbi7ztru</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20160417182500/http://www.brunoremillard.com:80/Papers/payoff.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/da/b3/dab33db74de9f550a6aedaf6cd39e0ae7c027bb4.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.1729779"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

The payoff distribution model: an application to dynamic portfolio insurance

Alexandre Hocquard, Nicolas Papageorgiou, Bruno Remillard
<span title="2012-03-29">2012</span> <i title="Informa UK Limited"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/7xykz3x6rvgnjjmyemc4tlha5u" style="color: black;">Quantitative finance (Print)</a> </i> &nbsp;
Business, 1988, 61 (3) , 369-393] as a performance measure, into a fund management tool. This approach allows us to generate funds with pre-specified distributional properties.  ...  Specifically, we generate funds that are characterized by a Left Truncated Gaussian distribution and then demonstrate out of sample, using different performance and risk measures, that this approach to  ...  Acknowledgements This work is supported, in part, by the Institut de Finance Mathe´matique de Montre´al (IFM2), by the Fonds pour la formation de chercheurs et l'aide a`la recherche du Gouvernement du  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1080/14697688.2012.661872">doi:10.1080/14697688.2012.661872</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/252zliijlzdutj36tntusg5vua">fatcat:252zliijlzdutj36tntusg5vua</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20160417182500/http://www.brunoremillard.com:80/Papers/payoff.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/da/b3/dab33db74de9f550a6aedaf6cd39e0ae7c027bb4.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1080/14697688.2012.661872"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> tandfonline.com </button> </a>

Excursion Risk [article]

Anna Ananova, Rama Cont, Renyuan Xu
<span title="2020-11-05">2020</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
a Markovian setting.  ...  of trades, realized profit, maximum loss and drawdown.  ...  This leads to an approach for non-parametric scenario simulation based on δ−excursions: Non-parametric scenario simulation by pasting of excursions.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2011.02870v1">arXiv:2011.02870v1</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/4f55mc2mina2lcaicgggfhtlwm">fatcat:4f55mc2mina2lcaicgggfhtlwm</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20201108113243/https://arxiv.org/pdf/2011.02870v1.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/2c/70/2c702651c8dddbcb4446f950ea9926f7e2fc4b13.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2011.02870v1" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

Optimal consumption, investment and housing with means-tested public pension in retirement

Johan G. Andréasson, Pavel V. Shevchenko, Alex Novikov
<span title="">2017</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/yfs2nelzzrfvhfnkys42p2fd44" style="color: black;">Insurance, Mathematics &amp; Economics</a> </i> &nbsp;
As a general rule, when wealth decreases the proportion allocated to risky assets increases, due to the Age Pension working as a buffer against investment losses.  ...  We account for mortality risk and risky investment assets, and introduce a health proxy to capture the decreasing level of consumption for older retirees.  ...  The separation of housing can also be proven with recursion on the value function in the Bellman equation in a similar manner.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.insmatheco.2017.04.003">doi:10.1016/j.insmatheco.2017.04.003</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/3iuebuiptvaevlo3sfmaji2oh4">fatcat:3iuebuiptvaevlo3sfmaji2oh4</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20180720002932/https://opus.lib.uts.edu.au/bitstream/10453/80691/1/1606.08984v1.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/0a/ed/0aed78fcd1313d8ca47e42139277a82b309e7396.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1016/j.insmatheco.2017.04.003"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> elsevier.com </button> </a>

Deep Replication of a Runoff Portfolio [article]

Thomas Krabichler, Josef Teichmann
<span title="2020-09-10">2020</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
We illustrate the potential of the approach in a stylised case.  ...  To the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon.  ...  All one needs to do is to line up performance measures of trained AFAs when short sale restrictions of the cash position are enforced and dropped respectively. 5.4. Goal-based Investing.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2009.05034v1">arXiv:2009.05034v1</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/nnboim65nbfovbhbgiucoiwrle">fatcat:nnboim65nbfovbhbgiucoiwrle</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20200920180346/https://arxiv.org/pdf/2009.05034v1.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2009.05034v1" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

Learning FX trading strategies with FQI and persistent actions

Antonio Riva, Lorenzo Bisi, Pierre Liotet, Luca Sabbioni, Edoardo Vittori, Marco Pinciroli, Michele Trapletti, Marcello Restelli
<span title="2021-11-03">2021</span> <i title="ACM"> Proceedings of the Second ACM International Conference on AI in Finance </i> &nbsp;
The signal-to-noise ratio has, indeed, a critical impact on the ability of autonomous agents to learn effectively.  ...  In this paper, we formulate multi-currency trading as a Markov Decision Process and we train an agent via Fitted-Q Iteration, a Reinforcement Learning value-based algorithm.  ...  ACKNOWLEDGMENTS The research was conducted under a cooperative agreement between Intesa Sanpaolo IMI Corporate & Investment Banking Division and Politecnico di Milano.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1145/3490354.3494403">doi:10.1145/3490354.3494403</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/so3fihxvvbaxbeavswaeef6bvq">fatcat:so3fihxvvbaxbeavswaeef6bvq</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20220507074002/https://dl.acm.org/doi/pdf/10.1145/3490354.3494403" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/2e/17/2e179c67cacfd991ec70cd98b56cff605bf99d00.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1145/3490354.3494403"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> acm.org </button> </a>

PAPERS FROM ACTUARIAL JOURNALS WORLDWIDE

<span title="2014-08-26">2014</span> <i title="Cambridge University Press (CUP)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/rmxp6u2jlbctvfquh24vqulrzi" style="color: black;">Annals of Actuarial Science</a> </i> &nbsp;
The conditioning idea that is inherent in our approach also inspires us to propose a new semi-analytic pricing approach.  ...  To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1017/s1748499514000207">doi:10.1017/s1748499514000207</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/w6qlf5k6mjfo7pwqhjtoj4ufpy">fatcat:w6qlf5k6mjfo7pwqhjtoj4ufpy</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20190505012426/https://www.cambridge.org/core/services/aop-cambridge-core/content/view/E75764D96364FA210D944E88C670D3EA/S1748499514000207a.pdf/div-class-title-papers-from-actuarial-journals-worldwide-div.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/c9/31/c9311f7cf5a5466d59188906c2553f3fc0c66766.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1017/s1748499514000207"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> cambridge.org </button> </a>

Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management [article]

Lukasz Delong
<span title="2011-01-12">2011</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
Time-delayed BSDEs may arise in finance when we want to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending on the applied strategy or  ...  We derive the corresponding time-delayed BSDEs and solve them explicitly or at least provide hints how to solve them numerically.  ...  However, the amortized cost approach, in contrast to our approach under which the rebalancing of assets is possible and the asset value is measured at the current market value, makes the allocation problem  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/1005.4417v3">arXiv:1005.4417v3</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/nlk2scsmy5hc3g4xzmmzmrhz5i">fatcat:nlk2scsmy5hc3g4xzmmzmrhz5i</a> </span>
<a target="_blank" rel="noopener" href="https://archive.org/download/arxiv-1005.4417/1005.4417.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> File Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/a7/ca/a7ca14a8766abc748d91b2cb591f27beb1dd4dfb.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/1005.4417v3" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

The Gerber-Shiu discounted penalty function: From practical perspectives [article]

Yue He and Reiichiro Kawai and Yasutaka Shimizu and Kazutoshi Yamazaki
<span title="2022-03-21">2022</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
To enhance research activities on such implementation aspects, we provide a full review of existing formulations and underlying surplus processes, as well as an extensive survey of analytical, semi-analytical  ...  In contrast to its great generality, the Gerber-Shiu function does not seem sufficiently prevalent in practice, largely due to a variety of difficulties in numerical approximation and statistical inference  ...  As an approach based on the underlying probability measure, change of measure is applied in [137] to transform the Gerber Shiu function on Sparre-Andersen and Markov-modulated models in such a way that  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2203.10680v1">arXiv:2203.10680v1</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/xb3ioqovbbgjfli5jbotl2rkfi">fatcat:xb3ioqovbbgjfli5jbotl2rkfi</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20220326174238/https://arxiv.org/pdf/2203.10680v1.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/12/4a/124ada899fbadb66fb698e75a27046f7fe25a7a9.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2203.10680v1" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

Stochastic Impulse Control of Non-Markovian Processes

Boualem Djehiche, Said Hamadène, Ibtissam Hdhiri
<span title="2009-03-18">2009</span> <i title="Springer Nature"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/x6rgcktxnfe5be2rcega3a7j7u" style="color: black;">Applied Mathematics and Optimization</a> </i> &nbsp;
We consider a class of stochastic impulse control problems of general stochastic processes i.e. not necessarily Markovian.  ...  We also prove existence of combined optimal stochastic and impulse control of a fairly general class of diffusions with random coefficients.  ...  Considering a random reward function h is motivated by problems that arise e.g. in the risk management of commodities such as risk measures based on minimizing the drawdown of the return of the underlyings  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/s00245-009-9070-4">doi:10.1007/s00245-009-9070-4</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/duuukmvqnrhrtp6desta4mgiay">fatcat:duuukmvqnrhrtp6desta4mgiay</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170705143436/https://people.kth.se/~boualem/impulse_control.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/ef/ab/efabace59d5c8e3550aaa9312467b0ce6ec9f664.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/s00245-009-9070-4"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> springer.com </button> </a>

Deep reinforcement learning on a multi-asset environment for trading [article]

Ali Hirsa, Joerg Osterrieder, Branka Hadji-Misheva, Jan-Alexander Posth
<span title="2021-06-15">2021</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
We analyze how training based on a combination of artificial data and actual price series can be successfully deployed in real markets.  ...  We use a deep Q-network (DQN) to design long-short trading strategies for futures contracts.  ...  The authors are grateful to Stephan Sturm, Matthew Dixon, Paul Bilokon, Saeed Amen, Chris Auth, Aasma John, Shengnan Cen, Wunan Hou, Xinyi Shu, management committee members of the COST (Cooperation in  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2106.08437v1">arXiv:2106.08437v1</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/5spab6lt6fc6tmhapsuurnoz5i">fatcat:5spab6lt6fc6tmhapsuurnoz5i</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20210618062126/https://arxiv.org/pdf/2106.08437v1.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/0d/f9/0df9aba5ec679a6c46c6c5e12ef108145ea5b403.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2106.08437v1" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

Spatiotemporal Adaptive Neural Network for Long-term Forecasting of Financial Time Series [article]

Philippe Chatigny, Jean-Marc Patenaude, Shengrui Wang
<span title="2020-11-16">2020</span> <i > arXiv </i> &nbsp; <span class="release-stage" >pre-print</span>
We investigate a common limitation of RNNs that rely on the DFG framework and propose a novel variable-length attention-based mechanism (ACTM) to address it.  ...  With ACTM, it is possible to vary the autoregressive order of a TS model over time and model a larger set of probability distributions than with previous approaches.  ...  In particular, assuming that the probability distribution models a stationary process induces the following set of independence relations: • The latent variable evolves in a Markovian or a semi-Markovian  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2003.12194v3">arXiv:2003.12194v3</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/aj5hn2wcrvedxlcsxp2tzju5am">fatcat:aj5hn2wcrvedxlcsxp2tzju5am</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20201118004306/https://arxiv.org/pdf/2003.12194v3.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/1f/c2/1fc2076317e6dec742614513684e079fb497929d.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener" href="https://arxiv.org/abs/2003.12194v3" title="arxiv.org access"> <button class="ui compact blue labeled icon button serp-button"> <i class="file alternate outline icon"></i> arxiv.org </button> </a>

PAPERS FROM ACTUARIAL JOURNALS WORLDWIDE

<span title="2016-02-05">2016</span> <i title="Cambridge University Press (CUP)"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/rmxp6u2jlbctvfquh24vqulrzi" style="color: black;">Annals of Actuarial Science</a> </i> &nbsp;
Single copies of the papers listed here can be obtained, subject to copyright law, by contacting the libraries. There may be a charge for this service.  ...  A password is available on request. Please emaillibraries@actuaries.org.ukfor more information.  ...  On minimizing drawdown risks of lifetime investments. 46-54. Drawdown measures the decline of portfolio value from its historic high-water mark.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1017/s1748499515000147">doi:10.1017/s1748499515000147</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/cxwzklcxczghzfc2a6n4nsdih4">fatcat:cxwzklcxczghzfc2a6n4nsdih4</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20190429132250/https://www.cambridge.org/core/services/aop-cambridge-core/content/view/27C2DCD1EA2DF77A025D197FE58BC942/S1748499515000147a.pdf/div-class-title-papers-from-actuarial-journals-worldwide-div.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/d3/75/d375b2340c9cc127b2ce24dfa991d747a2af661a.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1017/s1748499515000147"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> cambridge.org </button> </a>

Optimal Mechanisms for Heterogeneous Multi-Cell Aquifers

Stergios Athanassoglou, Glenn David Sheriff, Tobias Siegfried, Tim Huh Woonghee
<span title="">2011</span> <i title="Elsevier BV"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/tol7woxlqjeg5bmzadeg6qrg3e" style="color: black;">Social Science Research Network</a> </i> &nbsp;
To illustrate potential problems that can arise by erroneously imposing simplifying assumptions, we conduct a simulation based on data from the Indian state of Andhra Pradesh.  ...  To illustrate potential problems that can arise by erroneously imposing simplifying assumptions, we conduct a simulation based on data from the Indian state of Andhra Pradesh.  ...  drawdown is equal.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.1802415">doi:10.2139/ssrn.1802415</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/4bc4w6efp5fvbdxbfg5cnfxm5u">fatcat:4bc4w6efp5fvbdxbfg5cnfxm5u</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20170818033030/https://www.econstor.eu/bitstream/10419/53397/1/655956573.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/1c/1b/1c1b2916c2be15a414b5e0562dd30d908b31429b.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.2139/ssrn.1802415"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> ssrn.com </button> </a>

Optimal Mechanisms for Heterogeneous Multi-Cell Aquifers

Stergios Athanassoglou, Glenn Sheriff, Tobias Siegfried, Woonghee Tim Huh
<span title="2011-12-07">2011</span> <i title="Springer Nature"> <a target="_blank" rel="noopener" href="https://fatcat.wiki/container/hakghs2uirea5b3myms7hdswji" style="color: black;">Environmental and Resource Economics</a> </i> &nbsp;
To illustrate potential problems that can arise by erroneously imposing simplifying assumptions, we conduct a simulation based on data from the Indian state of Andhra Pradesh.  ...  To illustrate potential problems that can arise by erroneously imposing simplifying assumptions, we conduct a simulation based on data from the Indian state of Andhra Pradesh.  ...  drawdown is equal.  ... 
<span class="external-identifiers"> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/s10640-011-9528-0">doi:10.1007/s10640-011-9528-0</a> <a target="_blank" rel="external noopener" href="https://fatcat.wiki/release/7sgqxhzbyfbmxf25sg2iog5udm">fatcat:7sgqxhzbyfbmxf25sg2iog5udm</a> </span>
<a target="_blank" rel="noopener" href="https://web.archive.org/web/20140508211649/http://water.columbia.edu/files/2011/11/Siegfried2011Optimal%20.pdf" title="fulltext PDF download" data-goatcounter-click="serp-fulltext" data-goatcounter-title="serp-fulltext"> <button class="ui simple right pointing dropdown compact black labeled icon button serp-button"> <i class="icon ia-icon"></i> Web Archive [PDF] <div class="menu fulltext-thumbnail"> <img src="https://blobs.fatcat.wiki/thumbnail/pdf/1e/8a/1e8ab8060002cda3c6307df7842f42280b49e078.180px.jpg" alt="fulltext thumbnail" loading="lazy"> </div> </button> </a> <a target="_blank" rel="external noopener noreferrer" href="https://doi.org/10.1007/s10640-011-9528-0"> <button class="ui left aligned compact blue labeled icon button serp-button"> <i class="external alternate icon"></i> springer.com </button> </a>
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