Search Results - subject:"Drawdown constraint"

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Optimal consumption and life insurance under shortfall aversion and a drawdown constraint

Li, Xun; Yu, Xiang; Zhang, Qinyi - In: Insurance / Mathematics & economics 108 (2023), pp. 25-45

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013534508

Consumption-investment decisions with endogenous reference point and drawdown constraint

Liang, Zongxia; Luo, Xiaodong; Yuan, Fengyi - In: Mathematics and financial economics 17 (2023) 2, pp. 285-334

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014328923

Portfolio selection with drawdown constraint on consumption : a generalization model

Jeon, Junkee; Park, Kyunghyun - In: Mathematical methods of operations research : ZOR 93 (2021) 2, pp. 243-289

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012548529

Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

Cherny, Vladimir; Obłój, Jan - In: Finance and Stochastics 17 (2013) 4, pp. 771-800

A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider … drawdown constraint, as in the original setup of Grossman and Zhou (Math. Finance 3:241–276, <CitationRef CitationID="CR15 …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010997062

Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model

Cherny, Vladimir; Obłój, Jan - In: Finance and stochastics 17 (2013) 4, pp. 771-800

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010190877

Optimal lifetime consumption and investment under a drawdown constraint

Elie, Romuald; Touzi, Nizar - In: Finance and Stochastics 12 (2008) 3, pp. 299-330

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005390673