Optimal consumption and life insurance under shortfall aversion and a drawdown constraint

X Li, X Yu, Q Zhang - Insurance: Mathematics and Economics, 2023 - Elsevier
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption
performance is measured by a shortfall aversion preference under an additional drawdown …

Optimal ratcheting of dividends in a Brownian risk model

H Albrecher, P Azcue, N Muler - SIAM Journal on Financial Mathematics, 2022 - SIAM
We study the problem of optimal dividend payout from a surplus process governed by
Brownian motion with drift under the additional constraint of ratcheting, ie, the dividend rate …

Optimal dividends under a drawdown constraint and a curious square-root rule

H Albrecher, P Azcue, N Muler - Finance and Stochastics, 2023 - Springer
In this paper, we address the problem of optimal dividend payout strategies from a surplus
process governed by Brownian motion with drift under a drawdown constraint, ie, the …

Consumption-investment decisions with endogenous reference point and drawdown constraint

Z Liang, X Luo, F Yuan - Mathematics and Financial Economics, 2023 - Springer
We study a consumption-investment decision problem related to the past spending
maximum. In the problem, we consider two crucial consumption levels: the lowest …

Optimal ratcheting of dividend payout under Brownian motion surplus

C Guan, ZQ Xu - SIAM Journal on Control and Optimization, 2024 - SIAM
This paper is concerned with a long-standing optimal dividend payout problem subject to the
so-called ratcheting constraint, that is, the dividend payout rate shall be nondecreasing over …

A mean field game approach to equilibrium consumption under external habit formation

L Bo, S Wang, X Yu - Stochastic Processes and their Applications, 2024 - Elsevier
This paper studies the equilibrium consumption under external habit formation in a large
population of agents. We first formulate problems under two types of conventional habit …

Optimal consumption under loss-averse multiplicative habit-formation preferences

B Angoshtari, X Yu, F Yuan - arXiv preprint arXiv:2406.20063, 2024 - arxiv.org
This paper studies a loss-averse version of the multiplicative habit formation preference and
the corresponding optimal investment and consumption strategies over an infinite horizon …

Optimal asset allocation, consumption and retirement time with the variation in habitual persistence

L He, Z Liang, Y Song, Q Ye - Insurance: Mathematics and Economics, 2022 - Elsevier
In this paper, we study the individual's optimal asset allocation, consumption and retirement
time under habitual persistence. To depict the phenomenon that the individual feels equally …

Retirement spending problem under Habit Formation Model

S Kirusheva, H Huang, TS Salisbury - arXiv preprint arXiv:2210.06255, 2022 - arxiv.org
In this paper we consider the problem of optimizing lifetime consumption under a habit
formation model. Our work differs from previous results, because we incorporate mortality …

A greedy algorithm for habit formation under multiplicative utility

S Kirusheva, TS Salisbury - International Journal of Theoretical and …, 2024 - World Scientific
In this paper, we consider the problem of optimizing lifetime consumption under a habit
formation model, both with and without an exogenous pension. Unlike much of the existing …