Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
In this paper, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on the whole path of the wealth process.
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- Basak, Suleyman & Shapiro, Alexander, 2001.
"Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices,"
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- Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 6-99, Wharton School Rodney L. White Center for Financial Research.
- Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 06-99, Wharton School Rodney L. White Center for Financial Research.
- 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.
- Erhan Bayraktar & Virginia R. Young, 2007.
"Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control,"
0704.2244, arXiv.org, revised Aug 2010.
- Erhan Bayraktar & Virginia Young, 2011. "Proving regularity of the minimal probability of ruin via a game of stopping and control," Finance and Stochastics, Springer, vol. 15(4), pages 785-818, December.
- Patrick Cheridito & Freddy Delbaen & Michael Kupper, 2005. "Coherent and convex monetary risk measures for unbounded càdlàg processes," Finance and Stochastics, Springer, vol. 9(3), pages 369-387, 07.
- 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.
- Erhan Bayraktar & Virginia R. Young, 2007. "Correspondence between Lifetime Minimum Wealth and Utility of Consumption," Papers math/0703820, arXiv.org.
- Phelim Boyle & Weidong Tian, 2007. "Portfolio Management With Constraints," Mathematical Finance, Wiley Blackwell, vol. 17(3), pages 319-343.
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