Optimal investment to minimize the probability of drawdown

被引：22

作者：

Angoshtari, Bahman ^{[1
]}

Bayraktar, Erhan ^{[1
]}

Young, Virginia R. ^{[1
]}

机构：

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

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS | 2016年 / 88卷 / 06期

基金：

美国国家科学基金会;

关键词：

Optimal investment; stochastic optimal control; probability of drawdown; CONTINUOUS-TIME; CONSUMPTION; GOAL;

D O I：

10.1080/17442508.2016.1155590

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called probability of drawdown, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is subject to a payout that is a deterministic function of its value, as might be the case for an endowment fund paying at a specified rate, for example, at a constant rate or at a rate that is proportional to the fund's value.

引用

页码：946 / 958

页数：13

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