Minimizing the probability of lifetime drawdown under constant consumption
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young (Department of Mathematics, University of Michigan, Ann Arbor, MI, United States)
| Year of publication: |
July 2016
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|---|---|
| Authors: | Angoshtari, Bahman ; Bayraktar, Erhan ; Young, Virginia R. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 210-223
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| Subject: | Optimal investment | Stochastic optimal control | Probability of drawdown | Optimal controller-stopper problem | Duality argument | And free-boundary problem | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.05.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011533908