Minimizing the probability of lifetime ruin under stochastic volatility
From MaRDI portal
(Redirected from Publication:634006)
Abstract: We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. In the current financial market especially, it is important to include stochastic volatility in the risky asset's price process. Given the rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability of going bankrupt. To solve this minimization problem, we use techniques from stochastic optimal control.
Recommendations
- Optimal investment for minimizing the probability of lifetime ruin
- Minimizing the probability of lifetime ruin under random consumption
- Minimizing the lifetime ruin under borrowing and short-selling constraints
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Minimizing the probability of ruin when consumption is ratcheted
Cites work
- scientific article; zbMATH DE number 1577097 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
- Consistency issues for numerical methods for variance control, with applications to optimization in finance
- Correspondence between lifetime minimum wealth and utility of consumption
- Minimizing the probability of lifetime ruin under borrowing constraints
- Minimizing the probability of lifetime ruin under random consumption
- Minimizing the probability of lifetime ruin with deferred life annuities
- Minimizing the probability of ruin when consumption is ratcheted
- Multiscale Stochastic Volatility Asymptotics
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- Proving regularity of the minimal probability of ruin via a game of stopping and control
Cited in
(16)- scientific article; zbMATH DE number 5502241 (Why is no real title available?)
- Maximizing the utility of consumption with commutable life annuities
- Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
- Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis
- Annuitizing at a bounded, absolutely continuous rate to minimize the probability of lifetime ruin
- Minimizing the probability of absolute ruin under the mean‐variance premium principle
- Optimal investment for minimizing the probability of lifetime ruin
- Minimization of absolute ruin probability under negative correlation assumption
- A simple and nearly optimal investment strategy to minimize the probability of lifetime ruin
- Proving regularity of the minimal probability of ruin via a game of stopping and control
- Optimal investment-reinsurance strategies for an insurer with options trading under model ambiguity
- Minimizing the probability of lifetime exponential Parisian ruin
- Minimizing the lifetime ruin under borrowing and short-selling constraints
- Stochastic Perron's method for the probability of lifetime ruin problem under transaction costs
- Stochastic volatility asymptotics for optimal subsistence consumption and investment with bankruptcy
- Minimizing the probability of lifetime ruin under random consumption
This page was built for publication: Minimizing the probability of lifetime ruin under stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q634006)
