Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076966 | Insurance: Mathematics and Economics | 2011 | 13 Pages |
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
Erhan Bayraktar, Xueying Hu, Virginia R. Young,