Portfolio selection with drawdown constraint on consumption: a generalization model
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Cites work
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- Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
- Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
- On irreversible investment
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption choice with intolerance for declining standard of living
- Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimization of consumption with labor income
- Portfolio selection with consumption ratcheting
- Portfolio Selection with Transaction Costs
- Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
- Shortfall aversion
- Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy
- Valuation of Investments in Real Assets with Implications for the Stock Prices
Cited in
(9)- Optimal lifetime consumption and investment under a drawdown constraint
- Finite horizon portfolio selection problem with a drawdown constraint on consumption
- Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
- scientific article; zbMATH DE number 852301 (Why is no real title available?)
- Dynamic spending and portfolio decisions with a soft social norm
- Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets
- Optimal portfolio and labor-leisure decisions with intolerance for declining standards of living
- Optimal consumption under a drawdown constraint over a finite horizon
- Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint
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