ON THE CONSUMPTION/DISTRIBUTION THEOREM UNDER THE LONG-RUN GROWTH CRITERION SUBJECT TO A DRAWDOWN CONSTRAINT

Michael J. Klass () and Krzysztof Nowicki ()
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Michael J. Klass: Departments of Statistics and Mathematics, 367 Evans Hall and 910 Evans Hall, UC Berkeley, Berkeley, California 94720-3860, USA
Krzysztof Nowicki: Department of Statistics, Lund University, Box 743, S-220 07 Lund, Sweden

International Journal of Theoretical and Applied Finance (IJTAF), 2010, vol. 13, issue 06, 931-957

Abstract: Consider any discrete time sequence of investment fortunes Fn which has a finite long-run growth rate $V(r, \lambda_*)=\lim_{n\to\infty}\frac{\ln F_n}{n}$ when subject to the present value capital drawdown constraint Fne-rn ≥ λ* max0≤k≤nFke-rk, where 0 ≤ λ*

Keywords: Long-run growth; draw-down constraint; log utility; infinite horizon investment and consumption categories; withdrawal strategy; distribution strategy; consumption/distribution theorem; intergenerational trusts (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1142/S0219024910006054

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