| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069855 | Finance Research Letters | 2008 | 9 Pages |
Abstract
In this paper, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on the whole path of the wealth process.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Erhan Bayraktar, Virginia R. Young,