Optimal lifetime consumption and investment under a drawdown constraint

Elie R; Touzi N

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Optimal lifetime consumption and investment under a drawdown constraint

机译：缩水约束下的最佳使用寿命消耗和投资

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摘要

We 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.

机译：我们考虑了在缩水约束下的无限水平最优消费投资问题，即当财富过程从未降到其运行最大值的固定比例以下时。我们假设风险资产受常数系数的驱动。对于一类通用的效用函数，我们以显式形式提供值函数，并得出最佳消费和投资策略的闭式表达式。

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来源
《Finance and stochastics》 |2008年第3期|共32页
作者
Elie R; Touzi N;
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正文语种 eng
中图分类财政、金融;
关键词
portfolio allocation; drawdown constraint; duality; verification; PORTFOLIO SELECTION; DIFFUSION PROCESS; COSTS;

机译：投资组合分配;缩水约束;对偶性;验证;投资组合选择;扩散过程;成本;

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1. Optimal lifetime consumption and investment under a drawdown constraint [J] . Romuald Elie, Nizar Touzi Finance and Stochastics . 2008,第3期

机译：缩水约束下的最佳使用寿命消耗和投资
2. An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints [J] . Lee Ho-Seok, Shin Yong Hyun Japan journal of industrial and applied mathematics . 2016,第2期

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3. AN OPTIMAL CONSUMPTION-INVESTMENT MODEL WITH CONSTRAINT ON CONSUMPTION [J] . Xu Zuo Quan, Yi Fahuai Mathematical control and related fields . 2016,第3期

机译：具有消费约束的最优消费投资模型
4. Optimal investment and consumption strategies for small investor using Bellman's principle of optimality [C] . Surya B.A., Aswin Rahadi R., Juliarto Ruben 2011 International Conference on Electrical Engineering and Informatics . 2011

机译：利用贝尔曼最优原理的小投资者最优投资和消费策略
5. The impact of consumption and liquidity constraints on optimal consumption and investment decisions. [D] . Bhandari, Amit Vijay. 2008

机译：消费和流动性约束对最优消费和投资决策的影响。
6. An optimal consumption and investment problem with quadratic utility and negative wealth constraints [O] . Kum-Hwan Roh, Ji Yeoun Kim, Yong Hyun Shin -1

机译：具有二次效用和负财富约束的最优消费和投资问题
7. Optimal lifetime consumption and investment under a drawdown constraint [O] . Romuald Elie, Nizar Touzi 2008

机译：提取限制条件下的最佳使用寿命消耗和投资
8. Optimal Consumption and Investment Policies Allowing Consumption Constraints, Bankruptcy, and Welfare [R] . Lehoczky, J. , Sethi, S. , Shreve, S. 1981

机译：允许消费约束，破产和福利的最优消费和投资政策

Optimal lifetime consumption and investment under a drawdown constraint

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