Finite time Merton strategy under drawdown constraint: a viscosity solution approach

DOI10.1007/S00245-008-9044-YMaRDI QIDQ2391245zbMATHOpenAlexFDO

Authors Romuald Elie

Publication date 24 July 2009

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

Full work available at URL https://doi.org/10.1007/s00245-008-9044-y

zbMATH Keywords

comparison principleviscosity solutiondrawdown constraintconsumption-investment strategy

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

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• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal lifetime consumption and investment under a drawdown constraint
• Optimal portfolio management with American capital guarantee
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Cited in

(9)

• Finite horizon portfolio selection problem with a drawdown constraint on consumption
• Characterization of efficient frontier for mean-variance model with a drawdown constraint
• On optimal terminal wealth problems with random trading times and drawdown constraints
• COVID-19 pandemic control: balancing detection policy and lockdown intervention under ICU sustainability
• THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
• Optimal lifetime consumption and investment under a drawdown constraint
• Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
• An optimal consumption problem in finite time with a constraint on the ruin probability
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio

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