Optimal investment strategy to minimize occupation time

DOI10.1007/S10479-008-0467-2MaRDI QIDQ993736zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Virginia R. Young

Publication date 20 September 2010

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.3981

zbMATH Keywords

occupation timefree-boundary problemstochastic controloptimal investment

Mathematics Subject Classification ID

Portfolio theory (91G10) Free boundary problems for PDEs (35R35) Optimal stochastic control (93E20)

Abstract: We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {it occupation time}. The individual consumes at a constant rate and invests in a Black-Scholes financial market consisting of one riskless and one risky asset, with the risky asset's price process following a geometric Brownian motion. We also consider an extension of this problem by penalizing the occupation time for the degree to which wealth is negative.

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Cited in

(13)

• Minimizing the probability of lifetime exponential Parisian ruin
• Gambling for resurrection and the heat equation on a triangle
• A new stopping time model: a solution to a free-boundary problem
• Minimizing lifetime poverty with a penalty for bankruptcy
• Pricing and hedging of longevity basis risk through securitisation
• Forward dynamic utility functions: a new model and new results
• Approximations of non-smooth integral type functionals of one dimensional diffusion processes
• scientific article; zbMATH DE number 5066254 (Why is no real title available?)
• Optimal reinsurance: minimize the expected time to reach a goal
• On the area in the red of Lévy risk processes and related quantities
• Risk sensitive control of the lifetime ruin problem
• Minimizing the lifetime ruin under borrowing and short-selling constraints
• Minimizing the Expected Market Time to Reach a Certain Wealth Level

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