Optimal lifetime consumption and investment under a drawdown constraint

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Date
2008Dewey
Probabilités et mathématiques appliquéesSujet
Verification; Duality; Drawdown constraint; Portfolio allocationJournal issue
Finance and StochasticsVolume
12Number
3Publication date
07-2008Article pages
299-330Publisher
SpringerCollections
Metadata
Show full item recordAuthor
Touzi, Nizar
Elie, Romuald