Optimal lifetime consumption and investment under a drawdown constraint
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Publication:1003344
DOI10.1007/S00780-008-0066-8zbMATH Open1164.91011OpenAlexW2102343992MaRDI QIDQ1003344FDOQ1003344
Authors: Romuald Elie, Nizar Touzi 
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
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Portfolio theory (91G10) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (58)
- Optimal retirement savings over the life cycle: a deterministic analysis in closed form
- Optimal reinsurance and investment problem with the minimum capital deposit constraint
- Optimal reinsurance and investment problems to minimize the probability of drawdown
- Optimal ratcheting of dividend payout under Brownian motion surplus
- Portfolio management under drawdown constraint in discrete-time financial markets
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- Time-delayed generalized BSDEs
- A note on applications of stochastic ordering to control problems in insurance and finance
- Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
- Maximizing the utility of consumption with commutable life annuities
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- Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case
- Optimal consumption with reference to past spending maximum
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- Optimal investment strategies with a reallocation constraint
- Optimal Ratcheting of Dividends in a Brownian Risk Model
- Hedge and mutual funds' fees and the separation of private investments
- On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
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- Income drawdown option with minimum guarantee
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- Existence of optimal consumption strategies in markets with longevity risk
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- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- Optimal dividends under a drawdown constraint and a curious square-root rule
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
- Asset management with endogenous withdrawals under a drawdown constraint
- Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
- Long-term optimal investment with a generalized drawdown constraint
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