This paper studies the infinite horizon optimal consumption with a path-dependent reference under the exponential utility. The performance is measured by the difference between the non-negative consumption rate and a fraction of the historical consumption maximum. The consumption running maximum...

This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference subjecting to an additional drawdown constraint on consumption rate. Meanwhile, the agent also dynamically chooses her life insurance premium to...

We propose a new optimal consumption model in which the degree of addictiveness of habit formation is directly controlled through a constraint on admissible consumption. In particular, we assume that the individual is unwilling to consume at a rate below a certain proportion 0α≤1 of her...