研究论文
Optimal consumption under a drawdown constraint over a finite horizon
Xiaoshan Chen, Xun Li, Fahuai Yi, Xiang Yu
South China Normal University Hong Kong Polytechnic University
来源Automatica
年份2024
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经济 / 管理Stochastic processes and financial applications
Risk and Portfolio Optimization · Economic theories and models
参考文献 31
Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
被引 22Xiang Yu · The Annals of Applied Probability · 2015
Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
被引 196P. H. Dybvig · The Review of Economic Studies · 1995
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
被引 5,370Robert C. Merton · The Review of Economics and Statistics · 1969
此处列出前 3 条
施引文献 3
Shortfall Aversion On A Finite Horizon
被引 1Dan Ren · SIAM Journal on Financial Mathematics · 2025
Optimal Consumption and Portfolio Choice with Lifestyle Anticipation: Finite Dreams and Costly Lifestyle Revision
被引 0Kexin Chen, Junkee Jeon, Hyeng Keun Koo · SSRN Electronic Journal · 2026
Optimal Consumption under Relaxed Benchmark Tracking and Consumption Drawdown Constraint
被引 0Lijun Bo, Yijie Huang, Kaixin Yan · SIAM Journal on Financial Mathematics · 2026
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