Optimal consumption choice for ratchet investors
The utility maximization problem of ratchet investors who do not tolerate any decline in their consumption rate is solved explicitly for all felicity functions in a Markovian framework which includes Brownian motion and Poisson processes as special cases. The optimal consumption plan turns out to be the running maximum of the optimal plan a conventional time-additive investor would choose.
|Date of creation:||2001|
|Date of revision:|
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