Optimal lifetime consumption and investment under a drawdown constraint
Year of publication: |
2008
|
---|---|
Authors: | Elie, Romuald ; Touzi, Nizar |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 12.2008, 3, p. 299-330
|
Subject: | Portfolio-Management | Portfolio selection | Intertemporale Entscheidung | Intertemporal choice | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
-
Robust consumption decisions under ambiguity for regime switching mean returns
Liu, Hening, (2009)
-
Robust consumption and portfolio choice for time varying investment opportunities
Liu, Hening, (2010)
-
Utility maximization, risk aversion, and stochastic dominance
Beiglböck, Mathias, (2011)
- More ...
-
Optimal Greek weights by Kernel estimation
Elie, Romuald, (2004)
-
Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald, (2008)
-
Optimal Greek Weight by Kernel Estimation
Elie, Romuald, (2004)
- More ...