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Minimizing the Probability of Ruin when Consumption is Ratcheted


  • Erhan Bayraktar
  • Virginia R. Young


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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  • Erhan Bayraktar & Virginia R. Young, 2008. "Minimizing the Probability of Ruin when Consumption is Ratcheted," Papers 0806.2358,
  • Handle: RePEc:arx:papers:0806.2358

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    References listed on IDEAS

    1. 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.
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    Cited by:

    1. 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.
    2. Erhan Bayraktar & Yuchong Zhang, 2014. "Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion," Papers 1402.1809,, revised Nov 2014.

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