Optimal investment strategy to minimize occupation time

被引：0
|
作者：
Erhan Bayraktar
Virginia R. Young
机构：
[1] University of Michigan,Department of Mathematics
来源：
Annals of Operations Research | 2010年 / 176卷
关键词：
Occupation time; Optimal investment; Stochastic control; Free-boundary problem;
D O I：
暂无
中图分类号：
学科分类号：
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：19
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