ON THE CONSUMPTION/DISTRIBUTION THEOREM UNDER THE LONG-RUN GROWTH CRITERION SUBJECT TO A DRAWDOWN CONSTRAINT

DOI10.1142/S0219024910006054zbMath1233.91306MaRDI QIDQ2786346

Krzysztof Nowicki, Michael J. Klass

Publication date: 21 September 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

long-run growthdistribution strategylog utilityconsumption/distribution theoremdraw-down constraintinfinite horizon investment and consumption categoriesintergenerational trustswithdrawal strategy

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Economic growth models (91B62) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Optimal lifetime consumption and investment under a drawdown constraint
• Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
• The Grossman and Zhou investment strategy is not always optimal
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• A note on long-term optimal portfolios under drawdown constraints

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