Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
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چکیده
منابع مشابه
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
We determine the optimal robust investment strategy of an individual who targets at a given rate of consumption and seeks to minimize the probability of lifetime ruin when she does not have perfect confidence in the drift of the risky asset. Using stochastic control, we characterize the value function as the unique classical solution of an associated Hamilton-Jacobi-Bellman (HJB) equation, obta...
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We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter’s price following a diffusion with stochastic volatility. Given the rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability of going bankrupt. To solve this minimization problem, we use techniques from stochastic optimal...
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We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as lifetime ruin. We impose two types of borrowing constraints: First, we do not allow the individual to borrow money to invest in the risky asset nor to sell the risky asset short. However, the latter is no...
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The contribution of this paper is two-fold. First, we show that mutual fund theorems hold when minimizing the probability of lifetime ruin (that is, wealth reaching zero before death), as Merton (1971) does when maximizing the utility of consumption. Bayraktar and Young (2007a) determine when the investment strategies are identical under the two problems of maximizing utility of consumption or ...
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Retirees who exhaust their savings while still alive are said to experience financial ruin. The savings are typically grown during life’s accumulation phase then spent during the retirement decumulation phase. Extensive research into invest-and-harvest decumulation strategies has been conducted, but recommendations differ markedly. This has likely been a source of concern and confusion for the ...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2015
ISSN: 0363-0129,1095-7138
DOI: 10.1137/140955999