Workshop: Optimization and Optimal Control
Time: Thu, October 23, 2008, 10:50-11:40
Speaker: Romuald Elie
Abstract
We consider the optimal consumption-investment problem under the drawdown constraint, i. e. the wealth process never falls below a fixed fraction of its running maximum. We assume that the risky asset is driven by the constant coefficients Black and Scholes model. For a general class of utility functions and infinite horizon, we provide the value function in explicit form, and we derive closed-form expressions for the optimal consumption and investment strategy. On a finite time horizon, we provide a viscosity characterization of the solution. Part of this presentation is a joint work with Nizar Touzi.
Presentation slides (pdf, 998 KB)
URL: www.ricam.oeaw.ac.at/specsem/sef/events/program/presentation.php
This page was made with 100% valid HTML & CSS - Send comments to Webmaster
Today's date and time is 04/23/24 - 08:27 CEST and this file (/specsem/sef/events/program/presentation.php) was last modified on 12/18/12 - 14:00 CEST