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Optimal lifetime consumption and investment under a drawdown constraint · Study

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ArticleOptimal lifetime consumption and investment under a drawdown constraint

Romuald Élie2008

Article2008

Optimal lifetime consumption and investment under a drawdown constraint

Romuald Élie · Nizar Touzi

97 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

2007Brownian Motion and Stochastic Calculus 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2005Stochastic Integration and Differential Equations 1998Methods of Mathematical Finance 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1990Portfolio Selection with Transaction Costs 1990Stochastic Integration and Differential Equations

Cited by

2013Capital Asset Pricing Model (CAPM) with drawdown measure 2013Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model 2013THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS 2018Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment 2012Optimal Investment with High-watermark Performance Fee 2020Optimal Consumption with Reference to Past Spending Maximum

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Details

Year2008

Typearticle

Published2008-05-26

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations97

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-008-0066-8

openalex_workW2102343992

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2013Income drawdown option with minimum guarantee

2018Optimal portfolio under fractional stochastic environment