On minimizing drawdown risks of lifetime investments
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DOI: 10.1016/j.insmatheco.2015.08.007
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References listed on IDEAS
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"Minimizing the expected lifetime spent in drawdown under proportional consumption,"
Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption," Papers 1508.01914, arXiv.org, revised Aug 2015.
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Citations
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Cited by:
- Yakun Liu & Jingchao Li & Jieming Zhou & Yingchun Deng, 2024. "Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown," Methodology and Computing in Applied Probability, Springer, vol. 26(3), pages 1-34, September.
- Hansjoerg Albrecher & Pablo Azcue & Nora Muler, 2022. "Optimal dividends under a drawdown constraint and a curious square-root rule," Papers 2206.12220, arXiv.org.
- Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
- C. A. Valle & J. E. Beasley, 2019. "A nonlinear optimisation model for constructing minimal drawdown portfolios," Papers 1908.08684, arXiv.org.
- Huang, Huaxiong & Milevsky, Moshe A., 2016. "Longevity risk and retirement income tax efficiency: A location spending rate puzzle," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 50-62.
- Cohen, Asaf & Young, Virginia R., 2016. "Minimizing lifetime poverty with a penalty for bankruptcy," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 156-167.
- Leonie Violetta Brinker, 2021. "Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model," Risks, MDPI, vol. 9(1), pages 1-18, January.
- Ankush Agarwal & Ronnie Sircar, 2017. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Working Papers hal-01388399, HAL.
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2015.
"Minimizing the expected lifetime spent in drawdown under proportional consumption,"
Finance Research Letters, Elsevier, vol. 15(C), pages 106-114.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption," Papers 1508.01914, arXiv.org, revised Aug 2015.
- Yu Yuan & Zhibin Liang & Xia Han, 2022. "Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 96(2), pages 259-290, October.
- Wang, Wenyuan & Chen, Ping & Li, Shuanming, 2020. "Generalized expected discounted penalty function at general drawdown for Lévy risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 12-25.
- Angoshtari, Bahman & Bayraktar, Erhan & Young, Virginia R., 2016.
"Minimizing the probability of lifetime drawdown under constant consumption,"
Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 210-223.
- Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2015. "Minimizing the Probability of Lifetime Drawdown under Constant Consumption," Papers 1507.08713, arXiv.org, revised May 2016.
- Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558, arXiv.org.
- Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2021. "On the analysis of deep drawdowns for the Lévy insurance risk model," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 147-155.
- Hansjörg Albrecher & Pablo Azcue & Nora Muler, 2023. "Optimal dividends under a drawdown constraint and a curious square-root rule," Finance and Stochastics, Springer, vol. 27(2), pages 341-400, April.
- Chonghu Guan & Zuo Quan Xu, 2023. "Optimal ratcheting of dividend payout under Brownian motion surplus," Papers 2308.15048, arXiv.org, revised Jul 2024.
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Keywords
Drawdown risk; Portfolio optimization; Lifetime investment; Minimum variance strategy; HJB equation;All these keywords.
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