Minimizing the lifetime ruin under borrowing and short-selling constraints
In this paper, the optimal investment strategies for minimizing the probability of lifetime ruin under borrowing and short-selling constraints are found. The investment portfolio consists of multiple risky investments and a riskless investment. The investor withdraws money from the portfolio at a co...
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| Veröffentlicht in: | Scandinavian actuarial journal 2014-09, Vol.2014 (6), p.535-560 |
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| container_title | Scandinavian actuarial journal |
| container_volume | 2014 |
| creator | Yener, Haluk |
| description | In this paper, the optimal investment strategies for minimizing the probability of lifetime ruin under borrowing and short-selling constraints are found. The investment portfolio consists of multiple risky investments and a riskless investment. The investor withdraws money from the portfolio at a constant rate proportional to the portfolio value. In order to find the results, an auxiliary market is constructed, and the techniques of stochastic optimal control are used. Via this method, we show how the application of stochastic optimal control is possible for minimizing the probability of lifetime ruin problem defined under an auxiliary market. |
| doi_str_mv | 10.1080/03461238.2012.745448 |
| format | Article |
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The investment portfolio consists of multiple risky investments and a riskless investment. The investor withdraws money from the portfolio at a constant rate proportional to the portfolio value. In order to find the results, an auxiliary market is constructed, and the techniques of stochastic optimal control are used. Via this method, we show how the application of stochastic optimal control is possible for minimizing the probability of lifetime ruin problem defined under an auxiliary market.</description><subject>Actuarial science</subject><subject>auxiliary market</subject><subject>borrowing rate</subject><subject>constrained market</subject><subject>Investment policy</subject><subject>lending rate</subject><subject>optimal investment</subject><subject>probability of ruin</subject><subject>proportional cash withdrawal</subject><subject>Short sales</subject><subject>stochastic optimal control</subject><subject>Studies</subject><issn>0346-1238</issn><issn>1651-2030</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2014</creationdate><recordtype>article</recordtype><recordid>eNp9kEtLxDAUhYMoOI7-AxcF1x2TNK-uRAafjLjRdcikqZOhTcablEF_vVOqW1cXDt85Fz6ELgleEKzwNa6YILRSC4oJXUjGGVNHaEYEJyXFFT5GsxEpR-YUnaW0xRgLqcQMPb_44Hv_7cNHkTeu6Hzrsu9dAYMPxRAaB8U6AsT9SJjQFGkTIZfJdd2Y2BhSBuNDTufopDVdche_d47e7-_elo_l6vXhaXm7Km0lVC4dY05SLmrjOJVciMrWda1kS7C1nChqKXfUUSka12CGxdoaxpUyVBlLnKjm6Gra3UH8HFzKehsHCIeXmnDGOZNKsQPFJspCTAlcq3fgewNfmmA9WtN_1vRoTU_WDrWbqeZDG6E3-whdo7P56iK0YIL1SVf_LvwA6bNzPg</recordid><startdate>20140901</startdate><enddate>20140901</enddate><creator>Yener, Haluk</creator><general>Taylor & Francis Group</general><general>Taylor & Francis Ltd</general><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>20140901</creationdate><title>Minimizing the lifetime ruin under borrowing and short-selling constraints</title><author>Yener, Haluk</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c368t-e44e72569ae5275663c99987f10cc5182c25e2e276ded0406bca4588a28ac1e63</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2014</creationdate><topic>Actuarial science</topic><topic>auxiliary market</topic><topic>borrowing rate</topic><topic>constrained market</topic><topic>Investment policy</topic><topic>lending rate</topic><topic>optimal investment</topic><topic>probability of ruin</topic><topic>proportional cash withdrawal</topic><topic>Short sales</topic><topic>stochastic optimal control</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Yener, Haluk</creatorcontrib><collection>CrossRef</collection><jtitle>Scandinavian actuarial journal</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Yener, Haluk</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Minimizing the lifetime ruin under borrowing and short-selling constraints</atitle><jtitle>Scandinavian actuarial journal</jtitle><date>2014-09-01</date><risdate>2014</risdate><volume>2014</volume><issue>6</issue><spage>535</spage><epage>560</epage><pages>535-560</pages><issn>0346-1238</issn><eissn>1651-2030</eissn><abstract>In this paper, the optimal investment strategies for minimizing the probability of lifetime ruin under borrowing and short-selling constraints are found. 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| identifier | ISSN: 0346-1238 |
| ispartof | Scandinavian actuarial journal, 2014-09, Vol.2014 (6), p.535-560 |
| issn | 0346-1238 1651-2030 |
| language | eng |
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| source | EBSCOhost Business Source Complete; Taylor & Francis Journals Complete |
| subjects | Actuarial science auxiliary market borrowing rate constrained market Investment policy lending rate optimal investment probability of ruin proportional cash withdrawal Short sales stochastic optimal control Studies |
| title | Minimizing the lifetime ruin under borrowing and short-selling constraints |
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