Romuald Elie, Nizar Touzi. Optimal lifetime consumption and investment under a drawdown constraint. Finance and Stochastics, 12(3):299-330, 2008. [doi]
@article{ElieT08,
title = {Optimal lifetime consumption and investment under a drawdown constraint},
author = {Romuald Elie and Nizar Touzi},
year = {2008},
doi = {10.1007/s00780-008-0066-8},
url = {http://dx.doi.org/10.1007/s00780-008-0066-8},
researchr = {https://researchr.org/publication/ElieT08},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {12},
number = {3},
pages = {299-330},
}