Finite horizon portfolio selection problem with a drawdown constraint on consumption (Q2236009)
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scientific article; zbMATH DE number 7413060
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| English | Finite horizon portfolio selection problem with a drawdown constraint on consumption |
scientific article; zbMATH DE number 7413060 |
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Finite horizon portfolio selection problem with a drawdown constraint on consumption (English)
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22 October 2021
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drawdown constraint
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optimal consumption and investment
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singular control problem
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variational inequality
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free boundary
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0.8939958214759827
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0.8865664005279541
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0.8531094789505005
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