Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints

DOI10.1016/J.AMC.2016.11.029MaRDI QIDQ1735133zbMATH OpenOpenAlexFDO

Authors Jingjing Song, Xiuchun Bi, Rong Li, Shuguang Zhang

Publication date 28 March 2019

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2016.11.029

zbMATH Keywords

consumption constraintsloss aversionmartingale methodoptimal portfolio and consumption

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• Behavioral portfolio selection with loss control
• Consumption-Investment Models with Constraints
• Dynamic asset allocation with loss aversion in a jump-diffusion model
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• Myopic Loss Aversion and the Equity Premium Puzzle
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Optimal portfolio and consumption models under loss aversion in infinite time horizon
• Optimal portfolio choice for an insurer with loss aversion
• Portfolio optimization under loss aversion
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Prospect Theory: An Analysis of Decision under Risk

Cited in

(12)

• Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
• Portfolio selection with drawdown constraint on consumption: a generalization model
• Downside loss aversion: winner or loser?
• Optimal consumption and portfolio selection problem with downside consumption constraints
• Research advances on the theory of optimal consumption and portfolio for loss aversion
• Continuous-time portfolio selection with loss aversion in an incomplete market
• A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
• Optimal portfolio and consumption models under loss aversion in infinite time horizon
• Portfolio with consumption and terminal gains under loss aversion
• Optimal consumption with loss aversion and reference to past spending maximum
• An optimal consumption-investment problem on a finite horizon
• Hawkes-based optimal investment and reinsurance strategies for loss-averse insurer

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