Optimal consumption choice with intolerance for declining standard of living
From MaRDI portal
Publication:1030171
DOI10.1016/j.jmateco.2009.03.010zbMath1163.91460OpenAlexW2105655521MaRDI QIDQ1030171
Publication date: 1 July 2009
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://pub.uni-bielefeld.de/record/2315664
Related Items
Intertemporal preference with loss aversion: consumption and risk-attitude, Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations, Portfolio selection with consumption ratcheting, Dynamic asset allocation with consumption ratcheting post retirement, Optimal retirement and portfolio selection with consumption ratcheting, Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets, A generalization of Dybvig's result on portfolio selection with intolerance for decline in consumption, Ratchet consumption over finite and infinite planning horizons, Portfolio selection with drawdown constraint on consumption: a generalization model, Asset management with endogenous withdrawals under a drawdown constraint, Ratcheting with a bliss level of consumption, Optimal portfolio choice and consistent performance
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asset pricing for general processes
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Hyperbolic distributions in finance
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- First passage times of a jump diffusion process
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
- Option pricing when underlying stock returns are discontinuous
- Existence and structure of stochastic equilibria with intertemporal substitution