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Optimal consumption with reference to past spending maximum

Author

Listed:
  • Shuoqing Deng
  • Xun Li
  • Huyên Pham

    (UPD7 - Université Paris Diderot - Paris 7, LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - UPD7 - Université Paris Diderot - Paris 7 - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique, ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique)

  • Xiang Yu

Abstract

No abstract is available for this item.

Suggested Citation

  • Shuoqing Deng & Xun Li & Huyên Pham & Xiang Yu, 2022. "Optimal consumption with reference to past spending maximum," Post-Print hal-03947571, HAL.
    • Handle: RePEc:hal:journl:hal-03947571
    DOI: 10.1007/s00780-022-00475-w
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    Cited by:

    1. Lijun Bo & Yijie Huang & Xiang Yu, 2023. "An extended Merton problem with relaxed benchmark tracking," Papers 2304.10802, arXiv.org, revised Jul 2024.
    2. Minglian Lin & Indranil SenGupta, 2023. "Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets," Papers 2302.06778, arXiv.org, revised Dec 2023.
    3. Li, Xun & Yu, Xiang & Zhang, Qinyi, 2023. "Optimal consumption and life insurance under shortfall aversion and a drawdown constraint," Insurance: Mathematics and Economics, Elsevier, vol. 108(C), pages 25-45.
    4. Chonghu Guan & Zuo Quan Xu, 2023. "Optimal ratcheting of dividend payout under Brownian motion surplus," Papers 2308.15048, arXiv.org, revised Jul 2024.

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