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...

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...