Minimizing the Probability of Ruin when Consumption is Ratcheted

Erhan Bayraktar and Virginia R. Young

Abstract: We assume that an agent's rate of consumption is {\it ratcheted}; that is, it forms a non-decreasing process. Given the rate of consumption, we act as financial advisers and find the optimal investment strategy for the agent who wishes to minimize his probability of ruin.

Date: 2008-06
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Citations: View citations in EconPapers (4)

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Journal Article: Minimizing the Probability of Ruin When Consumption is Ratcheted (2008)
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