Optimal investment strategy to minimize occupation time

被引：18
|
作者：
Bayraktar, Erhan [1 ]
Young, Virginia R. [1 ]
机构：
[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA
来源：
ANNALS OF OPERATIONS RESEARCH | 2010年 / 176卷 / 01期
基金：
美国国家科学基金会;
关键词：
Occupation time; Optimal investment; Stochastic control; Free-boundary problem;
D O I：
10.1007/s10479-008-0467-2
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called occupation time. The individual consumes at a constant rate and invests in a Black-Scholes financial market consisting of one riskless and one risky asset, with the risky asset's price process following a geometric Brownian motion. We also consider an extension of this problem by penalizing the occupation time for the degree to which wealth is negative.
引用
收藏
页码：389 / 408
页数：20
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