Minimizing the lifetime ruin under borrowing and short-selling constraints (Q4576868)
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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 |
Statements
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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0.9555205
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0.90033585
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0.8930297
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0.8755802
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0.86778504
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0.8672272
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0.8662204
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