Minimizing the Probability of Lifetime Ruin under Stochastic Volatility

Erhan Bayraktar, Xueying Hu and Virginia R. Young

Papers from arXiv.org

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. In the current financial market especially, it is important to include stochastic volatility in the risky asset's price process. 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.

Date: 2010-03, Revised 2011-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://arxiv.org/pdf/1003.4216 Latest version (application/pdf)

Related works:
Journal Article: Minimizing the probability of lifetime ruin under stochastic volatility (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1003.4216

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().