Minimizing the lifetime ruin under borrowing and short-selling constraints (Q4576868): Difference between revisions

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Latest revision as of 02:02, 16 July 2024

scientific article; zbMATH DE number 6901176
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English
Minimizing the lifetime ruin under borrowing and short-selling constraints
scientific article; zbMATH DE number 6901176

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    Minimizing the lifetime ruin under borrowing and short-selling constraints (English)
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    11 July 2018
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    optimal investment
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    stochastic optimal control
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    probability of ruin
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    auxiliary market
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    constrained market
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    lending rate
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    borrowing rate
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    proportional cash withdrawal
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