Minimizing the Probability of Lifetime Drawdown Under Constant Consumption

@article{Angoshtari2015MinimizingTP,
  title={Minimizing the Probability of Lifetime Drawdown Under Constant Consumption},
  author={Bahman Angoshtari and E. Bayraktar and V. Young},
  journal={Pension Risk Management eJournal},
  year={2015}
}
  • Bahman Angoshtari, E. Bayraktar, V. Young
  • Published 2015
  • Economics, Mathematics
  • Pension Risk Management eJournal
  • We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probability that her wealth drops below some fixed proportion of her maximum wealth to date, the so-called probability of lifetime drawdown. If maximum wealth is less than a particular… CONTINUE READING
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