Minimizing the probability of lifetime drawdown under constant consumption

被引：19

作者：

Angoshtari, Bahman ^{[1
]}

Bayraktar, Erhan ^{[1
]}

Young, Virginia R. ^{[1
]}

机构：

[1] Univ Michigan, Dept Math, 530 Church St, Ann Arbor, MI 48109 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2016年 / 69卷

基金：

美国国家科学基金会;

关键词：

Optimal investinent; Stochastic optimal control; Probability of drawdown; Optimal controller-stopper problem; Duality argument; And free-boundary problem; UTILITY;

D O I：

10.1016/j.insmatheco.2016.05.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability that her wealth drops below some fixed proportion of her maximum wealth to date, the so-called probability of lifetime drawdown. If maximum wealth is less than a particular value, m*, then the individual optimally invests in such a way that maximum wealth never increases above its current value. By contrast, if maximum wealth is greater than m* but less than the safe level, then the individual optimally allows the maximum to increase to the safe level. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：210 / 223

页数：14

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