{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,9]],"date-time":"2026-03-09T04:24:54Z","timestamp":1773030294653,"version":"3.50.1"},"reference-count":46,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2012,3,23]],"date-time":"2012-03-23T00:00:00Z","timestamp":1332460800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2012,7]]},"DOI":"10.1007\/s00780-012-0175-2","type":"journal-article","created":{"date-parts":[[2012,3,23]],"date-time":"2012-03-23T07:13:38Z","timestamp":1332486818000},"page":"369-401","source":"Crossref","is-referenced-by-count":5,"title":["Long-term optimal portfolios with floor"],"prefix":"10.1007","volume":"16","author":[{"given":"Jun","family":"Sekine","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2012,3,23]]},"reference":[{"key":"175_CR1","first-page":"5","volume":"26","author":"P. Bertrand","year":"2005","unstructured":"Bertrand, P., Prigent, J.-L.: Portfolio insurance strategies: OBPI versus CPPI. Finance 26, 5\u201332 (2005)","journal-title":"Finance"},{"key":"175_CR2","doi-asserted-by":"crossref","DOI":"10.1017\/CBO9780511549878","volume-title":"Stochastic Integration with Jumps","author":"K. Bichteler","year":"2002","unstructured":"Bichteler, K.: Stochastic Integration with Jumps. Cambridge University Press, Cambridge (2002)"},{"key":"175_CR3","doi-asserted-by":"crossref","first-page":"337","DOI":"10.1007\/s002459900110","volume":"39","author":"T.R. Bielecki","year":"1999","unstructured":"Bielecki, T.R., Pliska, S.R.: Risk sensitive dynamic asset management. Appl. Math. Optim. 39, 337\u2013360 (1999)","journal-title":"Appl. Math. Optim."},{"key":"175_CR4","doi-asserted-by":"crossref","first-page":"420","DOI":"10.1109\/TAC.2004.824470","volume":"49","author":"T.R. Bielecki","year":"2004","unstructured":"Bielecki, T.R., Pliska, S.R.: Risk sensitive intertemporal CAPM, with application to fixed-income management. IEEE Trans. Autom. Control 49, 420\u2013432 (2004) (special issue on stochastic control methods in financial engineering)","journal-title":"IEEE Trans. Autom. Control"},{"key":"175_CR5","doi-asserted-by":"crossref","first-page":"48","DOI":"10.3905\/jpm.1987.409131","volume":"14","author":"F. Black","year":"1987","unstructured":"Black, F., Jones, R.: Simplifying portfolio insurance. J. Portf. Manag. 14, 48\u201351 (1987)","journal-title":"J. Portf. Manag."},{"key":"175_CR6","doi-asserted-by":"crossref","first-page":"403","DOI":"10.1016\/0165-1889(92)90043-E","volume":"16","author":"F. Black","year":"1992","unstructured":"Black, F., Perold, P.R.: Theory of constant proportion portfolio insurance. J. Econ. Dyn. Control 16, 403\u2013426 (1992)","journal-title":"J. Econ. Dyn. Control"},{"key":"175_CR7","first-page":"77","volume-title":"IMA Lecture Notes in Mathematics & Applications","author":"J. Cvitani\u0107","year":"1995","unstructured":"Cvitani\u0107, J., Karatzas, I.: On portfolio optimization under \u201cdrawdown\u201d constraints. In: Davis, M.H.A., Duffie, D., Fleming, W., Shreve, S.E. (eds.) IMA Lecture Notes in Mathematics & Applications, vol.\u00a065, pp.\u00a077\u201388. Springer, New York (1995)"},{"key":"175_CR8","doi-asserted-by":"crossref","first-page":"415","DOI":"10.1080\/14697680701401042","volume":"8","author":"M.H.A. Davis","year":"2008","unstructured":"Davis, M.H.A., Lleo, S.: Risk-sensitive benchmarked asset management. Quant. Finance 8, 415\u2013426 (2008)","journal-title":"Quant. Finance"},{"key":"175_CR9","doi-asserted-by":"crossref","first-page":"449","DOI":"10.1016\/j.jedc.2003.11.005","volume":"29","author":"N. Karoui El","year":"2005","unstructured":"El Karoui, N., Jeanblanc, M., Lacoste, V.: Optimal portfolio management with American capital guarantee. J. Econ. Dyn. Control 29, 449\u2013468 (2005)","journal-title":"J. Econ. Dyn. Control"},{"key":"175_CR10","doi-asserted-by":"crossref","first-page":"103","DOI":"10.1111\/j.1467-9965.2006.00263.x","volume":"16","author":"N. Karoui El","year":"2006","unstructured":"El Karoui, N., Meziou, A.: Constrained optimization with respect to stochastic dominance: application to portfolio insurance. Math. Finance 16, 103\u2013117 (2006)","journal-title":"Math. Finance"},{"key":"175_CR11","doi-asserted-by":"crossref","first-page":"647","DOI":"10.1214\/009117907000000222","volume":"36","author":"N. Karoui El","year":"2008","unstructured":"El Karoui, N., Meziou, A.: Max-plus decomposition of supermartingales and convex order. Applications to American options and portfolio insurance. Ann. Probab. 36, 647\u2013697 (2008)","journal-title":"Ann. Probab."},{"key":"175_CR12","doi-asserted-by":"crossref","first-page":"871","DOI":"10.1214\/aoap\/1029962817","volume":"9","author":"W.H. Fleming","year":"1999","unstructured":"Fleming, W.H., Sheu, S.J.: Optimal long term growth rate of expected utility of wealth. Ann. Appl. Probab. 9, 871\u2013903 (1999)","journal-title":"Ann. Appl. Probab."},{"key":"175_CR13","doi-asserted-by":"crossref","first-page":"730","DOI":"10.1214\/aoap\/1026915623","volume":"12","author":"W.H. Fleming","year":"2002","unstructured":"Fleming, W.H., Sheu, S.J.: Risk-sensitive control and an optimal investment model. II. Ann. Appl. Probab. 12, 730\u2013767 (2002)","journal-title":"Ann. Appl. Probab."},{"key":"175_CR14","doi-asserted-by":"crossref","first-page":"69","DOI":"10.1007\/s007800050033","volume":"2","author":"H. F\u00f6llmer","year":"1997","unstructured":"F\u00f6llmer, H., Kabanov, Y.: Optional decomposition and Lagrange multipliers. Finance Stoch. 2, 69\u201381 (1997)","journal-title":"Finance Stoch."},{"key":"175_CR15","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1007\/s004400050122","volume":"109","author":"H. F\u00f6llmer","year":"1997","unstructured":"F\u00f6llmer, H., Kramkov, D.: Optional decompositions under constraints. Probab. Theory Relat. Fields 109, 1\u201325 (1997)","journal-title":"Probab. Theory Relat. Fields"},{"key":"175_CR16","doi-asserted-by":"crossref","first-page":"28","DOI":"10.1080\/10920277.2000.10595894","volume":"4","author":"H.P. Gerber","year":"2000","unstructured":"Gerber, H.P., Pafumi, G.: Pricing dynamic investment fund protection. N. Am. Actuar. J. 4, 28\u201337 (2000). Discussion, 5(1), 153\u2013157","journal-title":"N. Am. Actuar. J."},{"key":"175_CR17","doi-asserted-by":"crossref","first-page":"303","DOI":"10.1111\/j.1467-9965.1996.tb00118.x","volume":"6","author":"H.P. Gerber","year":"1996","unstructured":"Gerber, H.P., Shiu, E.S.W.: Martingale approach to pricing perpetual American options on two stocks. Math. Finance 6, 303\u2013322 (1996)","journal-title":"Math. Finance"},{"issue":"2","key":"175_CR18","doi-asserted-by":"crossref","first-page":"60","DOI":"10.1080\/10920277.2003.10596087","volume":"7","author":"H.P. Gerber","year":"2003","unstructured":"Gerber, H.P., Shiu, E.S.W.: Pricing perpetual fund protection with withdrawal option. N. Am. Actuar. J. 7(2), 60\u201377 (2003). Discussion, 7(2), 77\u201392","journal-title":"N. Am. Actuar. J."},{"key":"175_CR19","doi-asserted-by":"crossref","first-page":"241","DOI":"10.1111\/j.1467-9965.1993.tb00044.x","volume":"3","author":"S.J. Grossman","year":"1993","unstructured":"Grossman, S.J., Zhou, Z.: Optimal investment strategies for controlling drawdowns. Math. Finance 3, 241\u2013276 (1993)","journal-title":"Math. Finance"},{"key":"175_CR20","doi-asserted-by":"crossref","first-page":"395","DOI":"10.1007\/s00780-006-0010-8","volume":"10","author":"H. Hata","year":"2006","unstructured":"Hata, H., Iida, Y.: A risk-sensitive stochastic control approach to an optimal investment problem with partial information. Finance Stoch. 10, 395\u2013426 (2006)","journal-title":"Finance Stoch."},{"key":"175_CR21","doi-asserted-by":"crossref","first-page":"52","DOI":"10.1214\/09-AAP618","volume":"20","author":"H. Hata","year":"2010","unstructured":"Hata, H., Nagai, H., Sheu, S.J.: Asymptotics of the probability minimizing a \u201cdown-side\u201d risk. Ann. Appl. Probab. 20, 52\u201389 (2010)","journal-title":"Ann. Appl. Probab."},{"key":"175_CR22","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1007\/4-431-30899-7_9","volume":"8","author":"H. Hata","year":"2005","unstructured":"Hata, H., Sekine, J.: Solving long term optimal investment problems with Cox\u2013Ingersoll\u2013Ross interest rates. Adv. Math. Econ. 8, 231\u2013255 (2005)","journal-title":"Adv. Math. Econ."},{"key":"175_CR23","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1080\/10920277.2001.10595996","volume":"5","author":"J. Imai","year":"2001","unstructured":"Imai, J., Boyle, P.P.: Dynamic fund protection. N. Am. Actuar. J. 5, 31\u201349 (2001)","journal-title":"N. Am. Actuar. J."},{"key":"175_CR24","volume-title":"Limit Theorems for Stochastic Processes","author":"J. Jacod","year":"2002","unstructured":"Jacod, J., Shiryaev, A.N.: Limit Theorems for Stochastic Processes, 2nd edn. Springer, Berlin (2002)","edition":"2"},{"key":"175_CR25","doi-asserted-by":"crossref","first-page":"217","DOI":"10.1090\/conm\/351\/06405","volume-title":"Mathematics of Finance. Contemp. Math.","author":"H. Kaise","year":"2004","unstructured":"Kaise, H., Sheu, S.J.: Risk sensitive optimal investment: solutions of the dynamical programming equation. In: Yin, G., Zhang, Q. (eds.) Mathematics of Finance. Contemp. Math., vol.\u00a0351, pp.\u00a0217\u2013230. Amer. Math. Soc., Providence (2004)"},{"key":"175_CR26","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1007\/BF01448358","volume":"17","author":"I. Karatzas","year":"1988","unstructured":"Karatzas, I.: On the pricing of American options. Appl. Math. Optim. 17, 37\u201360 (1988)","journal-title":"Appl. Math. Optim."},{"key":"175_CR27","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4612-0949-2","volume-title":"Brownian Motion and Stochastic Calculus","author":"I. Karatzas","year":"1991","unstructured":"Karatzas, I., Shreve, S.: Brownian Motion and Stochastic Calculus, 2nd edn. Springer, Berlin (1991)","edition":"2"},{"key":"175_CR28","doi-asserted-by":"crossref","DOI":"10.1007\/b98840","volume-title":"Methods of Mathematical Finance","author":"I. Karatzas","year":"1998","unstructured":"Karatzas, I., Shreve, S.: Methods of Mathematical Finance. Springer, Berlin, (1998)"},{"key":"175_CR29","doi-asserted-by":"crossref","first-page":"309","DOI":"10.1080\/1045112021000025961","volume":"73","author":"K. Kuroda","year":"2002","unstructured":"Kuroda, K., Nagai, H.: Risk sensitive portfolio optimization on infinite time horizon. Stoch. Stoch. Rep. 73, 309\u2013331 (2002)","journal-title":"Stoch. Stoch. Rep."},{"key":"175_CR30","first-page":"3","volume-title":"Portfolio Insurance: A Guide to Dynamic Hedging","author":"H. Leland","year":"1976","unstructured":"Leland, H., Rubinstein, M.: The evolution of portfolio insurance. In: Luskin, D.L. (ed.) Portfolio Insurance: A Guide to Dynamic Hedging, pp. 3\u201310. Wiley, New York (1976)"},{"key":"175_CR31","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1016\/0022-0531(71)90038-X","volume":"3","author":"R.C. Merton","year":"1971","unstructured":"Merton, R.C.: Optimum consumption and portfolio rules in a continuous-time model. J. Econ. Theory 3, 373\u2013413 (1971)","journal-title":"J. Econ. Theory"},{"key":"175_CR32","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1016\/0167-7152(87)90059-9","volume":"6","author":"J.M. Morrison","year":"1987","unstructured":"Morrison, J.M., Wise, G.L.: Continuity of filtrations of sigma algebras. Stat. Probab. Lett. 6, 55\u201360 (1987)","journal-title":"Stat. Probab. Lett."},{"key":"175_CR33","doi-asserted-by":"crossref","first-page":"1779","DOI":"10.1137\/S0363012901399337","volume":"41","author":"H. Nagai","year":"2003","unstructured":"Nagai, H.: Optimal strategies for risk-sensitive portfolio optimization problems for general factor models. SIAM J. Control Optim. 41, 1779\u20131800 (2003)","journal-title":"SIAM J. Control Optim."},{"key":"175_CR34","doi-asserted-by":"crossref","first-page":"789","DOI":"10.1080\/14697680903341814","volume":"11","author":"H. Nagai","year":"2011","unstructured":"Nagai, H.: Asymptotics of the probability minimizing a \u201cdown-side\u201d risk under partial information. Quant. Finance 11, 789\u2013803 (2011)","journal-title":"Quant. Finance"},{"key":"175_CR35","doi-asserted-by":"crossref","unstructured":"Nagai, H.: (2011) Down-side risk minimization via a large deviations approach. Ann. Appl. Probab. (in press). http:\/\/www.imstat.org\/aap\/future_papers.html","DOI":"10.1214\/11-AAP781"},{"key":"175_CR36","doi-asserted-by":"crossref","first-page":"173","DOI":"10.1214\/aoap\/1015961160","volume":"12","author":"H. Nagai","year":"2002","unstructured":"Nagai, H., Peng, S.: Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon. Ann. Appl. Probab. 12, 173\u2013195 (2002)","journal-title":"Ann. Appl. Probab."},{"key":"175_CR37","doi-asserted-by":"crossref","first-page":"972","DOI":"10.1239\/jap\/1014843077","volume":"37","author":"J.L. Pedersen","year":"2000","unstructured":"Pedersen, J.L.: Discounted optimal stopping problems for the maximum process. J. Appl. Probab. 37, 972\u2013983 (2000)","journal-title":"J. Appl. Probab."},{"key":"175_CR38","series-title":"Lectures in Mathematics, ETH Z\u00fcrich","volume-title":"Optimal Stopping and Free-Boundary Problems","author":"G. Peskir","year":"2006","unstructured":"Peskir, G., Shiryaev, A.: Optimal Stopping and Free-Boundary Problems. Lectures in Mathematics, ETH Z\u00fcrich. Birkh\u00e4user, Basel (2006)"},{"key":"175_CR39","doi-asserted-by":"crossref","unstructured":"Perold, R.R., Sharpe, W.: Dynamic strategies for asset allocation. Financ. Anal. J., January-February, 16\u201327 (1988)","DOI":"10.2469\/faj.v44.n1.16"},{"key":"175_CR40","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1007\/s007800200082","volume":"7","author":"H. Pham","year":"2003","unstructured":"Pham, H.: A large deviations approach to optimal long term investment. Finance Stoch. 7, 169\u2013195 (2003)","journal-title":"Finance Stoch."},{"key":"175_CR41","doi-asserted-by":"crossref","first-page":"295","DOI":"10.1016\/S0167-6911(03)00100-2","volume":"49","author":"H. Pham","year":"2003","unstructured":"Pham, H.: A risk-sensitive control dual approach to a large deviations control problem. Syst. Control Lett. 49, 295\u2013309 (2003)","journal-title":"Syst. Control Lett."},{"key":"175_CR42","first-page":"33","volume":"51","author":"J.-L. Prigent","year":"2001","unstructured":"Prigent, J.-L.: Assurance du portefeuille : analyse et extension de la m\u00e9thode du coussin. Banque et March\u00e9s 51, 33\u201339 (2001)","journal-title":"Banque et March\u00e9s"},{"key":"175_CR43","series-title":"CRC Financial Mathematics Series","doi-asserted-by":"crossref","DOI":"10.1201\/9781420010930","volume-title":"Portfolio Optimization and Performance Analysis","author":"J.-L. Prigent","year":"2007","unstructured":"Prigent, J.-L.: Portfolio Optimization and Performance Analysis. CRC Financial Mathematics Series. Chapman & Hall, London (2007)"},{"issue":"3\u20134","key":"175_CR44","first-page":"161","volume":"6","author":"P. Salminen","year":"2000","unstructured":"Salminen, P.: On Russian options. Theory Stoch. Process. 6(3\u20134), 161\u2013176 (2000)","journal-title":"Theory Stoch. Process."},{"key":"175_CR45","doi-asserted-by":"crossref","first-page":"673","DOI":"10.1239\/aap\/1158684997","volume":"38","author":"J. Sekine","year":"2006","unstructured":"Sekine, J.: A note on long-term optimal portfolios under drawdown constraints. Adv. Appl. Probab. 38, 673\u2013692 (2006)","journal-title":"Adv. Appl. Probab."},{"key":"175_CR46","doi-asserted-by":"crossref","first-page":"103","DOI":"10.1137\/1139004","volume":"39","author":"L.A. Shepp","year":"1994","unstructured":"Shepp, L.A., Shiryaev, A.N.: A new look at pricing of the \u201cRussian option\u201d. Theory Probab. Appl. 39, 103\u2013119 (1994)","journal-title":"Theory Probab. Appl."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-012-0175-2.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-012-0175-2\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-012-0175-2","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,1,6]],"date-time":"2022-01-06T12:38:49Z","timestamp":1641472729000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-012-0175-2"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,3,23]]},"references-count":46,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2012,7]]}},"alternative-id":["175"],"URL":"https:\/\/doi.org\/10.1007\/s00780-012-0175-2","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,3,23]]}}}