{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,9]],"date-time":"2026-05-09T15:42:02Z","timestamp":1778341322730,"version":"3.51.4"},"reference-count":20,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2008,5,27]],"date-time":"2008-05-27T00:00:00Z","timestamp":1211846400000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Finance Stoch"],"published-print":{"date-parts":[[2008,7]]},"DOI":"10.1007\/s00780-008-0066-8","type":"journal-article","created":{"date-parts":[[2008,5,26]],"date-time":"2008-05-26T04:55:50Z","timestamp":1211777750000},"page":"299-330","source":"Crossref","is-referenced-by-count":70,"title":["Optimal lifetime consumption and investment under a\u00a0drawdown constraint"],"prefix":"10.1007","volume":"12","author":[{"given":"Romuald","family":"Elie","sequence":"first","affiliation":[]},{"given":"Nizar","family":"Touzi","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2008,5,27]]},"reference":[{"key":"66_CR1","doi-asserted-by":"crossref","first-page":"612","DOI":"10.1137\/S0363012991223595","volume":"32","author":"G. Barles","year":"1994","unstructured":"Barles, G., Daher, C., Romano, M.: Optimal control of the $\\mathbb{L}^{\\infty}$ -norm of a diffusion process. SIAM J. Control Optim. 32, 612\u2013634 (1994)","journal-title":"SIAM J. Control Optim."},{"key":"66_CR2","unstructured":"Ben Tahar, I., Soner, M., Touzi, N.: Modelling continuous-time financial markets with capital gains taxes. Preprint (2005). http:\/\/www.cmap.polytechnique.fr\/~touzi\/bst06.pdf"},{"key":"66_CR3","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1016\/0022-0531(76)90018-1","volume":"13","author":"G.M. Constantinides","year":"1976","unstructured":"Constantinides, G.M., Magill, M.J.P.: Portfolio selection with transaction costs. J. Econ. Theory 13, 245\u2013263 (1976)","journal-title":"J. Econ. Theory"},{"key":"66_CR4","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1016\/0022-0531(89)90067-7","volume":"49","author":"J. Cox","year":"1989","unstructured":"Cox, J., Huang, C.F.: Optimal consumption and portfolio policies when asset prices follow a diffusion process. J. Econ. Theory 49, 33\u201383 (1989)","journal-title":"J. Econ. Theory"},{"key":"66_CR5","doi-asserted-by":"crossref","first-page":"767","DOI":"10.1214\/aoap\/1177005576","volume":"2","author":"J. Cvitani\u0107","year":"1992","unstructured":"Cvitani\u0107, J., Karatzas, I.: Convex duality in constrained portfolio optimization. Ann. Appl. Probab. 2, 767\u2013818 (1992)","journal-title":"Ann. Appl. Probab."},{"key":"66_CR6","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1007\/978-1-4757-2435-6_3","volume":"65","author":"J. Cvitani\u0107","year":"1995","unstructured":"Cvitani\u0107, J., Karatzas, I.: On portfolio optimization under \u201cdrawdown\u201d constraints. IMA Vol. Math. Appl. 65, 35\u201346 (1995)","journal-title":"IMA Vol. Math. Appl."},{"key":"66_CR7","doi-asserted-by":"crossref","first-page":"676","DOI":"10.1287\/moor.15.4.676","volume":"15","author":"M.H.A. Davis","year":"1990","unstructured":"Davis, M.H.A., Norman, A.R.: Portfolio selection with transaction costs. Math. Oper. Res. 15, 676\u2013713 (1990)","journal-title":"Math. Oper. Res."},{"key":"66_CR8","doi-asserted-by":"crossref","first-page":"409","DOI":"10.1007\/s007800050048","volume":"2","author":"N. El Karoui","year":"1998","unstructured":"El Karoui, N., Jeanblanc, M.: Optimization of consumption with labor income. Finance Stoch. 2, 409\u2013440 (1998)","journal-title":"Finance Stoch."},{"key":"66_CR9","doi-asserted-by":"crossref","first-page":"241","DOI":"10.1111\/j.1467-9965.1993.tb00044.x","volume":"3","author":"S.J. Grossman","year":"1993","unstructured":"Grossman, S.J., Zhou, Z.: Optimal investment strategies for controlling drawdowns. Math. Finance 3, 241\u2013276 (1993)","journal-title":"Math. Finance"},{"key":"66_CR10","doi-asserted-by":"crossref","first-page":"663","DOI":"10.1007\/BF01210265","volume":"3","author":"H. He","year":"1993","unstructured":"He, H.: Pag\u00e8s, H.: Labor income, borrowing constraints and equilibrium asset prices. Econ. Theory 3, 663\u2013696 (1993)","journal-title":"Econ. Theory"},{"key":"66_CR11","volume-title":"Brownian Motion and Stochastic Calculus","author":"I. Karatzas","year":"1991","unstructured":"Karatzas, I., Shreve, S.E.: Brownian Motion and Stochastic Calculus. Springer, New York (1991)"},{"key":"66_CR12","doi-asserted-by":"crossref","DOI":"10.1007\/b98840","volume-title":"Methods of Mathematical Finance","author":"I. Karatzas","year":"1998","unstructured":"Karatzas, I., Shreve, S.E.: Methods of Mathematical Finance. Springer, New York (1998)"},{"key":"66_CR13","doi-asserted-by":"crossref","first-page":"1557","DOI":"10.1137\/0325086","volume":"25","author":"I. Karatzas","year":"1997","unstructured":"Karatzas, I., Lehoczky, J.P., Shreve, S.E.: Optimal portfolio and consumption decisions for a \u201csmall investor\u201d on a finite horizon. SIAM J. Control Optim. 25, 1557\u20131586 (1997)","journal-title":"SIAM J. Control Optim."},{"key":"66_CR14","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1016\/j.spl.2005.04.060","volume":"74","author":"M.J. Klass","year":"2005","unstructured":"Klass, M.J., Nowicki, K.: The Grossman and Zhou investment strategy is not always optimal. Statist. Probab. Lett. 74, 245\u2013252 (2005)","journal-title":"Statist. Probab. Lett."},{"key":"66_CR15","doi-asserted-by":"crossref","first-page":"904","DOI":"10.1214\/aoap\/1029962818","volume":"9","author":"D. Kramkov","year":"1999","unstructured":"Kramkov, D., Schachermayer, W.: The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Ann. Appl. Probab. 9, 904\u2013950 (1999)","journal-title":"Ann. Appl. Probab."},{"key":"66_CR16","first-page":"247","volume":"51","author":"R.C. Merton","year":"1969","unstructured":"Merton, R.C.: Lifetime portfolio selection under uncertainty: the continuous-time model. Rev. Econ. Stud. 51, 247\u2013257 (1969)","journal-title":"Rev. Econ. Stud."},{"key":"66_CR17","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1016\/0022-0531(71)90038-X","volume":"3","author":"R.C. Merton","year":"1971","unstructured":"Merton, R.C.: Optimum consumption and portfolio rules in a continuous-time model. J. Econ. Theory 3, 373\u2013413 (1971)","journal-title":"J. Econ. Theory"},{"key":"66_CR18","doi-asserted-by":"crossref","DOI":"10.1007\/978-3-662-02619-9","volume-title":"Stochastic Integration and Differential Equations","author":"P. Protter","year":"1990","unstructured":"Protter, P.: Stochastic Integration and Differential Equations. Springer, Berlin (1990)"},{"key":"66_CR19","unstructured":"Roche, H.: Optimal consumption and investment strategies under wealth ratcheting. Preprint (2006). http:\/\/ciep.itam.mx\/~hroche\/Research\/MDCRESFinal.pdf"},{"key":"66_CR20","doi-asserted-by":"crossref","first-page":"609","DOI":"10.1214\/aoap\/1177004966","volume":"4","author":"S.E. Shreve","year":"1994","unstructured":"Shreve, S.E., Soner, H.M.: Optimal investment and consumption with transaction costs. Ann. Appl. Probab. 4, 609\u2013692 (1994)","journal-title":"Ann. Appl. Probab."}],"container-title":["Finance and Stochastics"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-008-0066-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00780-008-0066-8\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00780-008-0066-8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,29]],"date-time":"2019-05-29T02:29:12Z","timestamp":1559096952000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00780-008-0066-8"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2008,5,27]]},"references-count":20,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2008,7]]}},"alternative-id":["66"],"URL":"https:\/\/doi.org\/10.1007\/s00780-008-0066-8","relation":{},"ISSN":["0949-2984","1432-1122"],"issn-type":[{"value":"0949-2984","type":"print"},{"value":"1432-1122","type":"electronic"}],"subject":[],"published":{"date-parts":[[2008,5,27]]}}}