Finite horizon portfolio selection problem with a drawdown constraint on consumption
From MaRDI portal
Publication:2236009
DOI10.1016/j.jmaa.2021.125542zbMath1471.91501OpenAlexW3191824698MaRDI QIDQ2236009
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
variational inequalityfree boundarysingular control problemdrawdown constraintoptimal consumption and investment
Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Related Items (2)
Labor supply flexibility and portfolio selection with early retirement option ⋮ Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
Cites Work
- Continuous-time stochastic control and optimization with financial applications
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- Optimization of consumption with labor income
- Portfolio selection with consumption ratcheting
- Stochastic calculus for finance. II: Continuous-time models.
- Portfolio selection with drawdown constraint on consumption: a generalization model
- Controlled Markov processes and viscosity solutions
- Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
- Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
- Optimal Consumption and Portfolio Selection with Early Retirement Option
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Finite horizon portfolio selection problem with a drawdown constraint on consumption
