Correspondence between lifetime minimum wealth and utility of consumption

Erhan Bayraktar and Virginia Young ()

Finance and Stochastics, 2007, vol. 11, issue 2, 213-236

Keywords: Optimal control; Probability of ruin; Utility of consumption; Investment/consumption decisions; G11; C61; 91B28; 91B42 (search for similar items in EconPapers)
Date: 2007
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Working Paper: Correspondence between Lifetime Minimum Wealth and Utility of Consumption (2007)
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DOI: 10.1007/s00780-007-0035-7

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