ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
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Publication:3423400
DOI10.1111/j.1467-9965.2006.00288.xzbMath1130.91031MaRDI QIDQ3423400
Virginia R. Young, Kristen S. Moore, Moshe Arye Milevsky
Publication date: 22 February 2007
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00288.x
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49L20: Dynamic programming in optimal control and differential games
60H30: Applications of stochastic analysis (to PDEs, etc.)
35R60: PDEs with randomness, stochastic partial differential equations
35R35: Free boundary problems for PDEs
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