Minimizing The Probability Of Lifetime Ruin Under Stochastic Volatility
INSURANCE MATHEMATICS & ECONOMICS(2011)
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 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 control. (C) 2011 Elsevier B.V. All rights reserved.
更多查看译文
关键词
Optimal investment,Minimizing the probability of lifetime ruin,Stochastic volatility
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要