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Optimal lifetime consumption and investment under a drawdown constraint
16 references·8 citing·29 second hop
Optimal lifetime consumption and investment under a drawdown constraint (2008)Optimal lifetime consumption and investme…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Optimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)OPTIMAL INVESTMENT STRATEGIES…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Brownian Motion and Stochastic Calculus. (1989)Brownian Motion and Stochasti…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…Portfolio selection with transactions costs (1976)Portfolio selection with tran…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Optimal Consumption with Reference to Past Spending Maximum (2020)Optimal Consumption with Refe…Optimal portfolio under fractional stochastic environment (2018)Optimal portfolio under fract…Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (2018)Optimal Portfolio under Fast …THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS (2013)THE INCENTIVES OF HEDGE FUND …Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model (2013)Portfolio optimisation under …Income drawdown option with minimum guarantee (2013)Income drawdown option with m…Capital Asset Pricing Model (CAPM) with drawdown measure (2013)Capital Asset Pricing Model (…Optimal Investment with High-watermark Performance Fee (2012)Optimal Investment with High-…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Does Option Compensation Increase Managerial Risk Appetite? (2000)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1976Portfolio selection with transactions costs431 cited
  • 1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS384 cited

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2001
Optimal investment in incomplete markets when wealth may become negative
246 cited

Cited by

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  • 2013Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model43 cited
  • 2013THE INCENTIVES OF HEDGE FUND FEES AND HIGH‐WATER MARKS43 cited
  • 2018Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment36 cited
  • 2012Optimal Investment with High-watermark Performance Fee32 cited
  • 2020Optimal Consumption with Reference to Past Spending Maximum32 cited
  • 2013Income drawdown option with minimum guarantee30 cited
  • 2018Optimal portfolio under fractional stochastic environment28 cited