A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
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- Romuald Elie & Nizar Touzi, 2008. "Optimal lifetime consumption and investment under a drawdown constraint," Finance and Stochastics, Springer, vol. 12(3), pages 299-330, July.
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- Erhan Bayraktar & Yuchong Zhang, 2014. "Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion," Papers 1402.1809, arXiv.org, revised Nov 2014.
- Nicole Bäuerle & Ulrich Rieder, 2013. "Optimal Deterministic Investment Strategies for Insurers," Risks, MDPI, Open Access Journal, vol. 1(3), pages 1-18, November.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Optimal Investment to Minimize the Probability of Drawdown," Papers 1506.00166, arXiv.org, revised Feb 2016.
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