Optimal lifetime consumption and investment under a drawdown constraint
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 12 (2008)
Issue (Month): 3 (July)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- 35K - - - - - -
- 60H - - - - - -
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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- Zabarankin, Michael & Pavlikov, Konstantin & Uryasev, Stan, 2014. "Capital Asset Pricing Model (CAPM) with drawdown measure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 508-517.
- T. Arun, 2012. "The Merton Problem with a Drawdown Constraint on Consumption," Papers 1210.5205, arXiv.org.
- Vladimir Cherny & Jan Obłój, 2013. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, vol. 17(4), pages 771-800, October.
- 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.
- Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012.
"Income drawdown option with minimum guarantee,"
Carlo Alberto Notebooks
272, Collegio Carlo Alberto.
- Feyzullah Egriboyun & H. Soner, 2010. "Optimal investment strategies with a reallocation constraint," Computational Statistics, Springer, vol. 71(3), pages 551-585, June.
- Wang, Ting & Young, Virginia R., 2012. "Maximizing the utility of consumption with commutable life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 352-369.
- 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.
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