MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS
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Publication:4972127
DOI10.1017/asb.2019.23zbMath1429.49021OpenAlexW2955216173MaRDI QIDQ4972127
Virginia R. Young, Xiaoqing Liang
Publication date: 22 November 2019
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2019.23
Optimality conditions for problems involving partial differential equations (49K20) Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10) Optimality conditions for free problems in two or more independent variables (49K10)
Related Items (3)
Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin ⋮ Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables ⋮ A SIMPLE AND NEARLY OPTIMAL INVESTMENT STRATEGY TO MINIMIZE THE PROBABILITY OF LIFETIME RUIN
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