In continuous-time financial markets, several dynamic portfolio insurance techniques are introduced in generalized forms to construct self-financing portfolios, which satisfy the floor constraint, or a generalized drawdown constraint: Concretely, generalized CPPI (Constant Proportion Portfolio Insurance) methods, American OBPI (Option-Based Portfolio Insurance) method, and DFP (Dynamic Fund Protection) method are explained. Moreover, these portfolio insurance techniques are applied to solve the long-term risk-sensitized growth rate maximization problem subject to the floor constraint or the generalized drawdown constraint.
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