Finite time Merton strategy under drawdown constraint: a viscosity solution approach
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Publication:2391245
DOI10.1007/S00245-008-9044-YzbMATH Open1170.91378OpenAlexW2036457433MaRDI QIDQ2391245FDOQ2391245
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
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Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cites Work
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- An optimal consumption problem in finite time with a constraint on the ruin probability
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- Characterization of efficient frontier for mean-variance model with a drawdown constraint
- Optimal lifetime consumption and investment under a drawdown constraint
- Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
- THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
- Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
- On Optimal Terminal Wealth Problems with Random Trading Times and Drawdown Constraints
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