Lifetime ruin under high-water mark fees and drift uncertainty

DOI10.1007/s00245-020-09728-6zbMath1471.91503arXiv1909.01121OpenAlexW3095129860MaRDI QIDQ2234305

Yanyan Li

Publication date: 19 October 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.01121

zbMATH Keywords

comparison principlestochastic Perron's methoddrift uncertaintyhigh-watermark feeslifetime ruinmultiple hedge funds

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (2)

Optimal entry and consumption under habit formation ⋮ Optimal active lifetime investment

Uses Software

• DGM

Cites Work

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