Concepedia

Optimal lifetime consumption and investment under a drawdown constraint

Romuald Élie, Nizar Touzi

Finance and Stochastics · 2008 · 99 citations · 16 references

DOI

Concepts

References

16

Optimum consumption and portfolio rules in a continuous-time model

Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations

, , +16

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

Robert C. Merton · The Review of Economics and Statistics · 1969 · 5.3K citations

, , +17

Optimal consumption and portfolio policies when asset prices follow a diffusion process

John C. Cox, Chi-fu Huang · Journal of Economic Theory · 1989 · 1.7K citations

, , +17

Portfolio Selection with Transaction Costs

Mark H. Davis, A. R. Norman · Mathematics of Operations Research · 1990 · 1.4K citations · Full text

, , +14

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve · SIAM Journal on Control and Optimization · 1987 · 1.2K citations

, , +17