Minimizing lifetime poverty with a penalty for bankruptcy
From MaRDI portal
Publication:343989
DOI10.1016/J.INSMATHECO.2016.05.013zbMATH Open1369.91162arXiv1509.01694OpenAlexW2963892019MaRDI QIDQ343989FDOQ343989
Authors: Asaf Cohen, Virginia R. Young 
Publication date: 21 November 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Abstract: We provide investment advice for an individual who wishes to minimize her lifetime poverty, with a penalty for bankruptcy or ruin. We measure poverty via a non-negative, non-increasing function of (running) wealth. Thus, the lower wealth falls and the longer wealth stays low, the greater the penalty. This paper generalizes the problems of minimizing the probability of lifetime ruin and minimizing expected lifetime occupation, with the poverty function serving as a bridge between the two. To illustrate our model, we compute the optimal investment strategies for a specific poverty function and two consumption functions, and we prove some interesting properties of those investment strategies.
Full work available at URL: https://arxiv.org/abs/1509.01694
Recommendations
- Minimizing the probability of lifetime ruin under borrowing constraints
- Optimal investment for minimizing the probability of lifetime ruin
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Minimizing the lifetime shortfall or shortfall at death
- A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
Cites Work
- Title not available (Why is that?)
- Inequality, polarization and poverty. Advances in distributional analysis
- Correspondence between lifetime minimum wealth and utility of consumption
- Optimally investing to reach a bequest goal
- Purchasing term life insurance to reach a bequest goal while consuming
- Minimizing the probability of lifetime ruin under ambiguity aversion
- Minimizing the probability of lifetime drawdown under constant consumption
- Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- On minimizing drawdown risks of lifetime investments
- Optimal investment strategy to minimize occupation time
- Minimizing the probability of lifetime ruin under borrowing constraints
Cited In (2)
This page was built for publication: Minimizing lifetime poverty with a penalty for bankruptcy
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q343989)
