Shortfall aversion

DOI10.1111/MAFI.12239MaRDI QIDQ5855944zbMATH OpenOpenAlexFDO

Authors Paolo Guasoni, Gur Huberman, Dan Ren

Publication date 23 March 2021

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12239

zbMATH Keywords

consumptionendowmentsportfolio choiceshortfall aversion

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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Cited in

(14)

• Portfolio selection with drawdown constraint on consumption: a generalization model
• Optimal consumption with reference to past spending maximum
• Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
• Optimal tracking portfolio with a ratcheting capital benchmark
• A central limit theorem, loss aversion and multi-armed bandits
• Consumption-investment decisions with endogenous reference point and drawdown constraint
• Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
• Optimal consumption with loss aversion and reference to past spending maximum
• A mean field game approach to equilibrium consumption under external habit formation
• Shortfall aversion on a finite horizon
• Optimal consumption under a drawdown constraint over a finite horizon
• Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint
• Finite-horizon consumption and investment problem with loss aversion to consumption changes
• Optimal portfolio choice with comfortable consumption

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