Article ID Journal Published Year Pages File Type
5076966 Insurance: Mathematics and Economics 2011 13 Pages PDF
Abstract
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following a diffusion with stochastic volatility. Given the rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability of going bankrupt. To solve this minimization problem, we use techniques from stochastic optimal control.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
, , ,