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Optimal lifetime consumption and investment under a drawdown constraint

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Author Info

  • Romuald Elie

    ()

  • Nizar Touzi

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-008-0066-8
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 12 (2008)
    Issue (Month): 3 (July)
    Pages: 299-330

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    Handle: RePEc:spr:finsto:v:12:y:2008:i:3:p:299-330

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Portfolio allocation; Drawdown constraint; Duality; Verification; 91B28; 35K55; 60H30; G11; C61;

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    References

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    1. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    2. Magill, Michael J. P. & Constantinides, George M., 1976. "Portfolio selection with transactions costs," Journal of Economic Theory, Elsevier, vol. 13(2), pages 245-263, October.
    3. Sanford J. Grossman & Zhongquan Zhou, 1993. "Optimal Investment Strategies For Controlling Drawdowns," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 241-276.
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    Cited by:
    1. Lukasz Delong, 2010. "Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management," Papers 1005.4417, arXiv.org, revised Jan 2011.
    2. Robert Feicht & Wolfgang Stummer, 2010. "Complete Closed-form Solution to a Stochastic Growth Model and Corresponding Speed of Economic Recovery preliminary," DEGIT Conference Papers c015_041, DEGIT, Dynamics, Economic Growth, and International Trade.
    3. T. Arun, 2012. "The Merton Problem with a Drawdown Constraint on Consumption," Papers 1210.5205, arXiv.org.
    4. Nicole Bauerle & Erhan Bayraktar, 2012. "A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance," Papers 1210.3800, arXiv.org.
    5. Vladimir Cherny & Jan Obloj, 2011. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Papers 1110.6289, arXiv.org, revised Apr 2013.
    6. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.

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