Article ID Journal Published Year Pages File Type
5069897 Finance Research Letters 2008 10 Pages PDF
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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