Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin
نویسندگان
چکیده
Article history: Received 29 July 2008 Accepted 29 August 2008 Available online 5 September 2008 JEL classification: G11 G10 C61 G19
منابع مشابه
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The contribution of this paper is two-fold. First, we show that mutual fund theorems hold when minimizing the probability of lifetime ruin (that is, wealth reaching zero before death), as they do when maximizing the utility of consumption (Merton, 1971). Bayraktar and Young (2007a) determine when the investment strategies are identical under the two problems of maximizing utility of consumption...
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