Minimizing the expected lifetime spent in drawdown under proportional consumption
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DOI: 10.1016/j.frl.2015.08.010
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- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption," Papers 1508.01914, arXiv.org, revised Aug 2015.
References listed on IDEAS
- Chen, Xinfu & Landriault, David & Li, Bin & Li, Dongchen, 2015. "On minimizing drawdown risks of lifetime investments," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 46-54.
- Virginia Young, 2004. "Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(4), pages 106-126.
- Erhan Bayraktar & David Promislow & Virginia Young, 2014. "Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming," Papers 1412.2262, arXiv.org, revised Feb 2016.
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016.
"Minimizing the probability of lifetime drawdown under constant consumption,"
Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 210-223.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Probability of Lifetime Drawdown under Constant Consumption," Papers 1507.08713, arXiv.org, revised May 2016.
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"The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments,"
Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 68-95, January.
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- Bayraktar, Erhan & Young, Virginia R., 2007.
"Minimizing the probability of lifetime ruin under borrowing constraints,"
Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 196-221, July.
- Erhan Bayraktar & Virginia R. Young, 2007. "Minimizing the Probability of Lifetime Ruin under Borrowing Constraints," Papers math/0703850, arXiv.org.
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"Optimal investment strategy to minimize occupation time,"
Annals of Operations Research, Springer, vol. 176(1), pages 389-408, April.
- Erhan Bayraktar & Virginia R. Young, 2008. "Optimal Investment Strategy to Minimize Occupation Time," Papers 0805.3981, arXiv.org, revised Nov 2008.
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
"Minimizing the expected lifetime spent in drawdown under proportional consumption,"
Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption," Papers 1508.01914, arXiv.org, revised Aug 2015.
- Erhan Bayraktar & Virginia R. Young, 2007. "Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin," Papers math/0703862, arXiv.org, revised Oct 2007.
- Bayraktar, Erhan & Young, Virginia R., 2016.
"Optimally investing to reach a bequest goal,"
Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 1-10.
- Erhan Bayraktar & Virginia R. Young, 2015. "Optimally Investing to Reach a Bequest Goal," Papers 1503.00961, arXiv.org, revised May 2016.
- Bayraktar, Erhan & Promislow, S. David & Young, Virginia R., 2014.
"Purchasing life insurance to reach a bequest goal,"
Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 204-216.
- Erhan Bayraktar & David Promislow & Virginia Young, 2014. "Purchasing Life Insurance to Reach a Bequest Goal," Papers 1402.5300, arXiv.org, revised Jul 2014.
- Erhan Bayraktar & S. David Promislow & Virginia R. Young, 2015.
"Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case,"
North American Actuarial Journal, Taylor & Francis Journals, vol. 19(3), pages 224-236, July.
- Erhan Bayraktar & Virginia R. Young & David Promislow, 2015. "Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case," Papers 1503.02237, arXiv.org.
- Sanford J. Grossman & Zhongquan Zhou, 1993. "Optimal Investment Strategies For Controlling Drawdowns," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 241-276, July.
- Wang, Ting & Young, Virginia R., 2012. "Optimal commutable annuities to minimize the probability of lifetime ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 200-216.
Citations
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Cited by:
- Liang, Xiaoqing & Young, Virginia R., 2023. "Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 80-96.
- Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, January.
- Cohen, Asaf & Young, Virginia R., 2016. "Minimizing lifetime poverty with a penalty for bankruptcy," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 156-167.
- Leonie Violetta Brinker, 2021. "Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model," Risks, MDPI, vol. 9(1), pages 1-18, January.
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
"Minimizing the expected lifetime spent in drawdown under proportional consumption,"
Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption," Papers 1508.01914, arXiv.org, revised Aug 2015.
- Asaf Cohen & Virginia R. Young, 2015. "Minimizing Lifetime Poverty with a Penalty for Bankruptcy," Papers 1509.01694, arXiv.org.
- Chen, Xinfu & Landriault, David & Li, Bin & Li, Dongchen, 2015. "On minimizing drawdown risks of lifetime investments," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 46-54.
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More about this item
Keywords
Drawdown; Occupation time; Optimal investment; Stochastic control; Free-boundary problem;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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