Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin

By Virginia R. Young. 2004

123 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/a58b1fe60647cef845f7781486f79fbdc21981f8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Erhan Bayraktar
2. Virginia R. Young
3. Martin Schweizer
4. Michael Mania

In Economics and Econometrics

1. Erhan Bayraktar
2. Virginia R. Young
3. Martin Schweizer
4. Michael Mania

In Management Science and Operations Research

1. Erhan Bayraktar
2. Virginia R. Young

Citations in the corpus

• Minimizing the probability of lifetime ruin under borrowing constraints (2007, background): “When we include life annuities in the financial market model, the probability of ruin decreases since the price of an annuity that guarantees the fixed consumption rate is less than the wealth over which the lifetime ruin probability is zero (“the safe level”) (Milevsky, Moore, and Young, 2004).”
• Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, unknown): “Young (2004) on the other hand finds the optimal dynamic investment strategy as the one that minimizes the probability of lifetime ruin.”