Minimizing the lifetime ruin under borrowing and short-selling constraints

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dc.authoridYener, Haluk/0000-0003-2654-5810
dc.authorwosidYener, Haluk/AAG-5885-2019
dc.contributor.authorYener, Haluk
dc.date.accessioned2024-07-18T20:55:11Z
dc.date.available2024-07-18T20:55:11Z
dc.date.issued2014
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractIn 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.en_US
dc.identifier.doi10.1080/03461238.2012.745448
dc.identifier.endpage560en_US
dc.identifier.issn0346-1238
dc.identifier.issn1651-2030
dc.identifier.issue6en_US
dc.identifier.scopus2-s2.0-84904034771en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage535en_US
dc.identifier.urihttps://doi.org/10.1080/03461238.2012.745448
dc.identifier.urihttps://hdl.handle.net/11411/8769
dc.identifier.volume2014en_US
dc.identifier.wosWOS:000340114200003en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherTaylor & Francis Ltden_US
dc.relation.ispartofScandinavian Actuarial Journalen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectOptimal İnvestmenten_US
dc.subjectStochastic Optimal Controlen_US
dc.subjectProbability Of Ruinen_US
dc.subjectAuxiliary Marketen_US
dc.subjectConstrained Marketen_US
dc.subjectLending Rateen_US
dc.subjectBorrowing Rateen_US
dc.subjectProportional Cash Withdrawalen_US
dc.subjectInvestmenten_US
dc.subjectProbabilityen_US
dc.subjectConsumptionen_US
dc.subjectReinsuranceen_US
dc.subjectGrowthen_US
dc.subjectTimeen_US
dc.titleMinimizing the lifetime ruin under borrowing and short-selling constraints
dc.typeArticle

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