Finite time Merton strategy under drawdown constraint: a viscosity solution approach (Q2391245)
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scientific article; zbMATH DE number 5586591
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| English | Finite time Merton strategy under drawdown constraint: a viscosity solution approach |
scientific article; zbMATH DE number 5586591 |
Statements
Finite time Merton strategy under drawdown constraint: a viscosity solution approach (English)
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24 July 2009
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consumption-investment strategy
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drawdown constraint
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viscosity solution
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comparison principle
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0.8563977479934692
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0.8531094789505005
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0.8055650591850281
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0.7884392142295837
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