Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069897 | Finance Research Letters | 2008 | 10 Pages |
Abstract
We show that the mutual fund theorems of Merton [1971. Journal of Economic Theory 3, 373-413] extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by considering a financial market both with and without a riskless asset for random consumption. The striking result is that we obtain two-fund theorems despite the additional source of randomness from consumption.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Erhan Bayraktar, Virginia R. Young,