Optimal investment strategy to minimize occupation time
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Publication:993736
DOI10.1007/S10479-008-0467-2zbMATH Open1233.91235arXiv0805.3981OpenAlexW1967542662MaRDI QIDQ993736FDOQ993736
Authors: Erhan Bayraktar, Virginia R. Young 
Publication date: 20 September 2010
Published in: Annals of Operations Research (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/0805.3981
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- A new stopping time model: a solution to a free-boundary problem
- Gambling for resurrection and the heat equation on a triangle
- Risk sensitive control of the lifetime ruin problem
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- Forward dynamic utility functions: a new model and new results
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- Minimizing lifetime poverty with a penalty for bankruptcy
- Approximations of non-smooth integral type functionals of one dimensional diffusion processes
- Pricing and hedging of longevity basis risk through securitisation
- Minimizing the lifetime ruin under borrowing and short-selling constraints
- Minimizing the probability of lifetime exponential Parisian ruin
- Optimal reinsurance: minimize the expected time to reach a goal
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