Consumption-investment decisions with endogenous reference point and drawdown constraint

DOI10.1007/s11579-023-00335-xzbMath1520.91229arXiv2204.00530MaRDI QIDQ6113174

Zongxia Liang, Xiao-Dong Luo, Fengyi Yuan

Publication date: 10 July 2023

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.00530

zbMATH Keywords

stochastic controlconsumer behaviordrawdown constraintendogenous reference pointpast consumption peak

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42) Financial markets (91G15)

Cites Work

• Additive habit formation: consumption in incomplete markets with random endowments
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• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• Optimal Investment and Consumption under a Habit-Formation Constraint
• Realization utility with adaptive reference points
• Optimal Growth with Intertemporally Dependent Preferences
• Shortfall aversion
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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