Minimizing the probability of lifetime ruin under stochastic volatility

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. 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.

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Year of publication:	2011
Authors:	Bayraktar, Erhan ; Hu, Xueying ; Young, Virginia R.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 49.2011, 2, p. 194-206
Publisher:	Elsevier
Keywords:	Optimal investment Minimizing the probability of lifetime ruin Stochastic volatility

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009146181