Finite horizon portfolio selection problem with a drawdown constraint on consumption
DOI10.1016/J.JMAA.2021.125542zbMATH Open1471.91501OpenAlexW3191824698MaRDI QIDQ2236009FDOQ2236009
Authors: Junkee Jeon, Jehan Oh 
Publication date: 22 October 2021
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2021.125542
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free boundaryvariational inequalitysingular control problemdrawdown constraintoptimal consumption and investment
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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- Optimal consumption and portfolio selection with early retirement option
- Portfolio selection with consumption ratcheting
- Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
- Portfolio selection with drawdown constraint on consumption: a generalization model
Cited In (12)
- Dynamic asset allocation and consumption ratcheting with costs
- On the consumption/distribution theorem under the long-run growth criterion subject to a drawdown constraint
- Optimal ratcheting of dividend payout under Brownian motion surplus
- Finite time Merton strategy under drawdown constraint: a viscosity solution approach
- Portfolio management under drawdown constraint in discrete-time financial markets
- Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- Finite horizon portfolio selection with a negative wealth constraint
- Labor supply flexibility and portfolio selection with early retirement option
- Portfolio selection with drawdown constraint on consumption: a generalization model
- Optimal lifetime consumption and investment under a drawdown constraint
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
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