Correspondence between lifetime minimum wealth and utility of consumption
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 11 (2007)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- 91B - - - - - -
- 91B - - - - - -
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
- Milevsky, Moshe Arye & Ho, Kwok & Robinson, Chris, 1997. " Asset Allocation via the Conditional First Exit Time or How to Avoid Outliving Your Money," Review of Quantitative Finance and Accounting, Springer, vol. 9(1), pages 53-70, July.
- Hipp, Christian & Plum, Michael, 2000. "Optimal investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 215-228, October.
- Bayraktar, Erhan & Hu, Xueying & Young, Virginia R., 2011. "Minimizing the probability of lifetime ruin under stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 194-206, September.
- Nielsen, Peter Holm & Steffensen, Mogens, 2008. "Optimal investment and life insurance strategies under minimum and maximum constraints," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 15-28, August.
- Petrichev, Konstantin & Thorp, Susan, 2008.
"The private value of public pensions,"
Insurance: Mathematics and Economics,
Elsevier, vol. 42(3), pages 1138-1145, June.
- Erhan Bayraktar & Virginia R. Young, 2008. "Minimizing the Probability of Ruin when Consumption is Ratcheted," Papers 0806.2358, arXiv.org.
- Bayraktar, Erhan & Young, Virginia R., 2008. "Mutual fund theorems when minimizing the probability of lifetime ruin," Finance Research Letters, Elsevier, vol. 5(2), pages 69-78, June.
- Bayraktar, Erhan & Young, Virginia R., 2009. "Minimizing the lifetime shortfall or shortfall at death," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 447-458, June.
- Bayraktar, Erhan & Young, Virginia R., 2008. "Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin," Finance Research Letters, Elsevier, vol. 5(4), pages 204-212, December.
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