Robust portfolio selection for individuals: minimizing the probability of lifetime ruin

DOI10.3934/JIMO.2020005zbMath1474.91178OpenAlexW2999149483MaRDI QIDQ2031384

Yanyan Li

Publication date: 9 June 2021

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2020005

zbMATH Keywords

HJB equationoptimal investmentmodel ambiguityprobability of lifetime ruinambiguity derived ratiostandardized penalty

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal portfolio in a continuous-time self-exciting threshold model
• Optimal consumption and investment under irrational beliefs
• Optimal investment and consumption with transaction costs
• Optimal investment and premium control in a nonlinear diffusion model
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• An extension of Paulsen-Gjessing's risk model with stochastic return on investments
• Correspondence between lifetime minimum wealth and utility of consumption
• Controlled Markov processes and viscosity solutions
• Robust control and model misspecification
• Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
• Portfolio Selection in the Enlarged Markovian Regime-Switching Market
• Consumption-Investment Models with Constraints
• PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin

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