Shortfall aversion

DOI10.1111/mafi.12239OpenAlexW4210287945MaRDI QIDQ5855944

Paolo Guasoni, Dan Ren, Gur Huberman

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12239

zbMATH Keywords

consumptionendowmentsportfolio choiceshortfall aversion

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (7)

Optimal consumption with reference to past spending maximum ⋮ Optimal consumption and life insurance under shortfall aversion and a drawdown constraint ⋮ A central limit theorem, loss aversion and multi-armed bandits ⋮ Consumption-investment decisions with endogenous reference point and drawdown constraint ⋮ Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation ⋮ Portfolio selection with drawdown constraint on consumption: a generalization model ⋮ Optimal Tracking Portfolio with a Ratcheting Capital Benchmark

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