Optimal Investment Strategy to Minimize Occupation Time

Erhan Bayraktar and Virginia R. Young

Papers from arXiv.org

Abstract: We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and invests in a Black-Scholes financial market consisting of one riskless and one risky asset, with the risky asset's price process following a geometric Brownian motion. We also consider an extension of this problem by penalizing the occupation time for the degree to which wealth is negative.

Date: 2008-05, Revised 2008-11
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Journal Article: Optimal investment strategy to minimize occupation time (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0805.3981

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