Portfolio selection with drawdown constraint on consumption: a generalization model

DOI10.1007/s00186-020-00734-6zbMath1468.91136OpenAlexW3119742276MaRDI QIDQ2040428

Kyunghyun Park, Junkee Jeon

Publication date: 14 July 2021

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-020-00734-6

zbMATH Keywords

portfolio selectionsingular control problemdrawdown constrainthabit formationgeneral utility function

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (4)

Optimal consumption and life insurance under shortfall aversion and a drawdown constraint ⋮ Dynamic spending and portfolio decisions with a soft social norm ⋮ Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets ⋮ Finite horizon portfolio selection problem with a drawdown constraint on consumption

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