Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets
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Publication:6187488
DOI10.1214/22-aap1918zbMath1530.91556arXiv2108.00337OpenAlexW3192594504MaRDI QIDQ6187488
Publication date: 15 January 2024
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.00337
incomplete marketsconvex dualityutility maximizationrunning maximumdrawdown constraint on consumptionratcheting of consumption
Utility theory (91B16) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Financial markets (91G15)
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