Minimizing the expected lifetime spent in drawdown under proportional consumption
نویسندگان
چکیده
منابع مشابه
Optimal lifetime consumption and investment under drawdown constraint
We consider the infinite horizon optimal consumption-investment problem under the drawdown constraint, i.e. the wealth process never falls below a fixed fraction of its running maximum. We assume that the risky asset is driven by the constant coefficients Black and Scholes model. For a general class of utility functions, we provide the value function in explicit form, and we derive closed-form ...
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2015
ISSN: 1544-6123
DOI: 10.1016/j.frl.2015.08.010