The Grossman and Zhou investment strategy is not always optimal
Grossman and Zhou [1993. Optimal investment strategies for controlling drawdowns. Math. Finance 3, 241-276] proposed a strategy to maximize the asymptotic long-run growth rate of one's fortune F, subject to its never falling below lambda sup(0 <= t'<= t) F(t')e(r(t-t')), where 0 <=lambda <= 1 is a fixed constant chosen by the investor and r is a fixed, known, non-negative, continuously compounded
