Minimizing the lifetime ruin under borrowing and short-selling constraints
Küçük Resim Yok
Tarih
2014
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In this paper, the optimal investment strategies for minimizing the probability of lifetime ruin under borrowing and short-selling constraints are found. The investment portfolio consists of multiple risky investments and a riskless investment. The investor withdraws money from the portfolio at a constant rate proportional to the portfolio value. In order to find the results, an auxiliary market is constructed, and the techniques of stochastic optimal control are used. Via this method, we show how the application of stochastic optimal control is possible for minimizing the probability of lifetime ruin problem defined under an auxiliary market.
Açıklama
Anahtar Kelimeler
Optimal İnvestment, Stochastic Optimal Control, Probability Of Ruin, Auxiliary Market, Constrained Market, Lending Rate, Borrowing Rate, Proportional Cash Withdrawal, Investment, Probability, Consumption, Reinsurance, Growth, Time
Kaynak
Scandinavian Actuarial Journal
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
2014
Sayı
6
