Optimal investment to minimize the probability of drawdown
نویسندگان
چکیده
منابع مشابه
Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
We consider that the reserve of an insurance company follows a Cramér-Lundberg process. The management has the possibility of investing part of the reserve in a risky asset. We consider that the risky asset is a stock whose price process is a geometric Brownian motion. Our aim is to find a dynamic choice of the investment policy which minimizes the ruin probability of the company. We impose tha...
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We consider the infinite horizon optimal consumption-investment problem under the drawdown constraint, i.e. the wealth process never falls below a fixed fraction of its running maximum. We assume that the risky asset is driven by the constant coefficients Black and Scholes model. For a general class of utility functions, we provide the value function in explicit form, and we derive closed-form ...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2016
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2016.1155590