Minimizing the probability of lifetime ruin under stochastic volatility

Erhan Bayraktar, Xueying Hu and Virginia R. Young

Insurance: Mathematics and Economics, 2011, vol. 49, issue 2, 194-206

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.

Keywords: Optimal; investment; Minimizing; the; probability; of; lifetime; ruin; Stochastic; volatility (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Working Paper: Minimizing the Probability of Lifetime Ruin under Stochastic Volatility (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:2:p:194-206

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