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Optimal lifetime consumption and investment under a drawdown constraint

dc.contributor.authorTouzi, Nizar
dc.contributor.authorElie, Romuald
dc.date.accessioned2009-07-03T07:24:38Z
dc.date.available2009-07-03T07:24:38Z
dc.date.issued2008
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/707
dc.language.isoenen
dc.subjectVerification
dc.subjectDuality
dc.subjectDrawdown constraint
dc.subjectPortfolio allocationen
dc.subject.ddc519en
dc.titleOptimal lifetime consumption and investment under a drawdown constrainten
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité de Versailles - Saint Qentin en Yvelines - Polytechnique - X;France
dc.contributor.editoruniversityotherINSEE - Ecole Nationale de la Statistique et de l'Administration Economique;France
dc.description.abstractenWe consider the infinite-horizon optimal consumption-investment problem under a drawdown constraint, i.e., when the wealth process never falls below a fixed fraction of its running maximum. We assume that the risky asset is driven by the with constant coefficients. For a general class of utility functions, we provide the value function in explicit form and derive closed-form expressions for the optimal consumption and investment strategy.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol12en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2008-07
dc.relation.isversionofjnlpages299-330en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-008-0066-8
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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