Minimizing the lifetime shortfall or shortfall at death
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Other versions of this item:
- Erhan Bayraktar, 2007. "Minimizing the Lifetime Shortfall or Shortfall at Death," Papers math/0703824, arXiv.org.
References listed on IDEAS
- Jun Liu & Francis A. Longstaff & Jun Pan, 2003.
"Dynamic Asset Allocation with Event Risk,"
Journal of Finance,
American Finance Association, vol. 58(1), pages 231-259, February.
- Liu, Jun & Longstaff, Francis & Pan, Jun, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
- Jun Liu & Francis A. Longstaff & Jun Pan, 2002. "Dynamic Asset Allocation With Event Risk," NBER Working Papers 9103, National Bureau of Economic Research, Inc.
- 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 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.
More about this item
KeywordsSelf-annuitization Optimal investment Stochastic optimal control Probability of ruin Borrowing constraints;
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