Risk Sensitive Control of the Lifetime Ruin Problem
classification
🧮 math.OC
math.PRq-fin.MF
keywords
assetcontrollifetimeproblemriskruinsensitiveasymptotically
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We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that governs the limit behavior. We solve it explicitly and use it in order to find an asymptotically optimal policy.
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