# 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} }

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

12 Citations

Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure

- Mathematics
- 2018

- 5
- Highly Influenced

Generalized Expected Discounted Penalty Function at General Drawdown for L\'{e}vy Risk Processes

- Economics, Mathematics
- 2019

- 4
- PDF

Optimal proportional reinsurance with common shock dependence to minimise the probability of drawdown

- Mathematics
- 2019

- 3

A nonlinear optimisation model for constructing minimal drawdown portfolios

- Economics, Mathematics
- 2019

#### References

##### Publications referenced by this paper.

SHOWING 1-10 OF 23 REFERENCES

Correspondence between lifetime minimum wealth and utility of consumption

- Mathematics, Computer Science
- 2007

- 31
- PDF

Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement

- Economics
- 2006

- 33
- PDF