Minimizing the Probability of Ruin when Consumption is Ratcheted
classification
💱 q-fin.RM
math.OC
keywords
consumptionagentprobabilityratchetedrateruinadvisersassume
read the original abstract
We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find the optimal investment strategy for the agent who wishes to minimize his probability of ruin.
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