Minimizing the lifetime ruin under borrowing and short-selling constraints
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Publication:4576868
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Cites work
- scientific article; zbMATH DE number 1066452 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- An Optimal Investment/Consumption Model with Borrowing
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Conjugate convex functions in optimal stochastic control
- Convex duality in constrained portfolio optimization
- Minimizing the lifetime shortfall or shortfall at death
- Minimizing the probability of lifetime ruin under borrowing constraints
- On minimizing the ruin probability by investment and reinsurance
- On reinsurance and investment for large insurance portfolios
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Optimal consumption and portfolio choice with borrowing constraints
- Optimal investment and consumption decision of a family with life insurance
- Optimal investment strategy to minimize occupation time
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Self-Annuitization and Ruin in Retirement
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
Cited in
(7)- Proportional reinsurance and investment in multiple risky assets under borrowing constraint
- Maximizing the goal-reaching probability before drawdown with borrowing constraint
- Risk sensitive control of the lifetime ruin problem
- Optimal investment for minimizing the probability of lifetime ruin
- Optimal active lifetime investment
- Minimizing the probability of lifetime ruin under stochastic volatility
- Minimizing the probability of lifetime ruin under borrowing constraints
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