Ratchet consumption over finite and infinite planning horizons

DOI10.1016/j.jmateco.2014.09.001zbMath1308.91101OpenAlexW1988586269MaRDI QIDQ462862

Jason S. Scott, John G. Watson

Publication date: 22 October 2014

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2014.09.001

zbMATH Keywords

retirementexpected utility maximizationendowmentinstallment optionratchet consumption

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Consumer behavior, demand theory (91B42)

Related Items

Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations, Portfolio selection with consumption ratcheting, Dynamic asset allocation with consumption ratcheting post retirement, Optimal retirement and portfolio selection with consumption ratcheting, Utility maximization with ratchet and drawdown constraints on consumption in incomplete semimartingale markets, Finite horizon portfolio selection with durable goods, Optimal Consumption and Portfolio Selection with Early Retirement Option, Ratcheting with a bliss level of consumption

Cites Work

• Unnamed Item
• Unnamed Item
• On a general class of free boundary problems for European-style installment options with continuous payment plan
• Optimal consumption choice with intolerance for declining standard of living
• On intertemporal preferences in continuous time. The case of certainty
• Optimal consumption choice with intertemporal substitution
• A stochastic representation theorem with applications to optimization and obstacle problems.
• Stochastic calculus for finance. II: Continuous-time models.
• Introductory lectures on fluctuations of Lévy processes with applications.
• Some mathematical results in the pricing of American options
• First passage times of a jump diffusion process
• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• General theory of geometric Lévy models for dynamic asset pricing