Dynamic asset allocation and consumption ratcheting with costs

DOI10.1016/J.CAM.2024.115966MaRDI QIDQ6569186zbMATH OpenFDO

Authors Junkee Jeon, Jehan Oh

Publication date 8 July 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2024.115966

zbMATH Keywords

consumption ratchetingfree boundary probleminvestmentobstacle problemsingular control problemutility cost

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Portfolio theory (91G10)

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Cites work

• A connection between singular stochastic control and optimal stopping
• A generalization of Dybvig's result on portfolio selection with intolerance for decline in consumption
• An irreversible investment problem with demand on a finite horizon: the optimal investment boundary analysis
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• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• Dynamic asset allocation with consumption ratcheting post retirement
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• Finite horizon portfolio selection with durable goods
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• Optimal consumption choice with intolerance for declining standard of living
• Optimization of consumption with labor income
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Portfolio selection with consumption ratcheting
• Ratchet consumption over finite and infinite planning horizons
• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES

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