Finite horizon portfolio selection problem with a drawdown constraint on consumption

DOI10.1016/J.JMAA.2021.125542MaRDI QIDQ2236009zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

free boundaryvariational inequalitysingular control problemdrawdown constraintoptimal consumption and investment

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40)

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• Portfolio selection with drawdown constraint on consumption: a generalization model
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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
• 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
• Finite horizon portfolio selection problems with stochastic borrowing constraints
• Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
• Finite horizon portfolio selection with a negative wealth constraint
• Portfolio selection with drawdown constraint on consumption: a generalization model
• Labor supply flexibility and portfolio selection with early retirement option
• 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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