Minimizing the Probability of Lifetime Ruin under Stochastic Volatility
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial market especially, it is important to include stochastic volatility in the risky asset's price process. Given the rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability of going bankrupt. To solve this minimization problem, we use techniques from stochastic optimal control.
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- Erhan Bayraktar & Virginia R. Young, 2008. "Minimizing the Probability of Ruin when Consumption is Ratcheted," Papers 0806.2358, arXiv.org.
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"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.
- Erhan Bayraktar & Virginia R. Young, 2007. "Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control," Papers 0704.2244, arXiv.org, revised Aug 2010.
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- 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. "Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin," Papers math/0703862, arXiv.org, revised Oct 2007.
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