Optimal lifetime consumption and investment under a drawdown constraint
نویسندگان
چکیده
منابع مشابه
Optimal lifetime consumption and investment under a drawdown constraint
We consider the infinite horizon optimal consumption-investment problem under the drawdown constraint, i.e. the wealth process never falls below a fixed fraction of its running maximum. We assume that the risky asset is driven by the constant coefficients Black and Scholes model. For a general class of utility functions, we provide the value function in explicit form, and we derive closed-form ...
متن کاملOptimal lifetime consumption and investment under drawdown constraint
We consider the infinite horizon optimal consumption-investment problem under the drawdown constraint, i.e. the wealth process never falls below a fixed fraction of its running maximum. We assume that the risky asset is driven by the constant coefficients Black and Scholes model. For a general class of utility functions, we provide the value function in explicit form, and we derive closed-form ...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2008
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-008-0066-8