Optimal lifetime consumption and investment under a drawdown constraint
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Cites work
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- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 852301 (Why is no real title available?)
- Convex duality in constrained portfolio optimization
- Labor income, borrowing constraints, and equilibrium asset prices
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- Optimal Control on the $L^\infty $ Norm of a Diffusion Process
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- Optimal investment and consumption with transaction costs
- Optimization of consumption with labor income
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Selection with Transaction Costs
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- The Grossman and Zhou investment strategy is not always optimal
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Cited in
(58)- Long-term optimal investment with a generalized drawdown constraint
- 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 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 to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes
- Maximizing the utility of consumption with commutable life annuities
- Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
- Optimal investment with high-watermark fee in a multidimensional jump diffusion model
- Optimal consumption with reference to past spending maximum
- Optimal reinsurance and investment problems to minimize the probability of drawdown
- Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case
- A consumption-investment problem with constraints on minimum and maximum consumption rates
- Lifetime ruin under high-water mark fees and drift uncertainty
- On optimal terminal wealth problems with random trading times and drawdown constraints
- A simple model of optimum life-cycle consumption with earnings uncertainty
- Optimal investment strategies with a reallocation constraint
- Multiscale asymptotic analysis for portfolio optimization under stochastic environment
- On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation
- Hedge and mutual funds' fees and the separation of private investments
- Optimal Ratcheting of Dividends in a Brownian Risk Model
- On the consumption/distribution theorem under the long-run growth criterion subject to a drawdown constraint
- Optimal portfolio under fast mean-reverting fractional stochastic environment
- Analysis of a drawdown-based regime-switching Lévy insurance model
- Finite time Merton strategy under drawdown constraint: a viscosity solution approach
- Optimal ratcheting of dividend payout under Brownian motion surplus
- Portfolio management under drawdown constraint in discrete-time financial markets
- Consumption-investment decisions with endogenous reference point and drawdown constraint
- Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
- Income drawdown option with minimum guarantee
- The incentives of hedge fund fees and high-water marks
- Finite horizon portfolio selection problem with a drawdown constraint on consumption
- Existence of optimal consumption strategies in markets with longevity risk
- An optimal consumption-investment model with constraint on consumption
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
- A portfolio choice problem under risk capacity constraint
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals
- A consumption-investment model with state-dependent lower bound constraint on consumption
- Characterization of efficient frontier for mean-variance model with a drawdown constraint
- Minimizing the probability of lifetime drawdown under constant consumption
- Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
- On minimizing drawdown risks of lifetime investments
- Continuous-time portfolio optimization for absolute return funds
- Capital asset pricing model (CAPM) with drawdown measure
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- On dynamic programming principle for stochastic control under expectation constraints
- THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
- 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
- Time-delayed generalized BSDEs
- Discrete-time portfolio optimization under maximum drawdown constraint with partial information and deep learning resolution
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