Optimal lifetime consumption and investment under a drawdown constraint
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Publication:1003344
DOI10.1007/s00780-008-0066-8zbMath1164.91011OpenAlexW2102343992MaRDI QIDQ1003344
Publication date: 28 February 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.573.4876
Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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