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Minimizing the Probability of Ruin when Consumption is Ratcheted

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Author Info
Erhan Bayraktar
Virginia R. Young
Abstract

We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find the optimal investment strategy for the agent who wishes to minimize his probability of ruin.

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File URL: http://arxiv.org/abs/0806.2358
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File URL: http://arxiv.org/pdf/0806.2358
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number 0806.2358.

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Date of creation: Jun 2008
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Handle: RePEc:arx:papers:0806.2358

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  1. Erhan Bayraktar & Virginia R. Young, 2007. "Correspondence between Lifetime Minimum Wealth and Utility of Consumption," Quantitative Finance Papers math/0703820, arXiv.org. [Downloadable!]
  2. Erhan Bayraktar & Virginia Young, 2007. "Correspondence between lifetime minimum wealth and utility of consumption," Finance and Stochastics, Springer, vol. 11(2), pages 213-236, April. [Downloadable!] (restricted)
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This page was last updated on 2009-12-23.

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