英文标题：
《Minimizing the Probability of Lifetime Drawdown under Constant
Consumption》
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作者：
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
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最新提交年份：
2016
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英文摘要：
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 {\\it lifetime drawdown}. If maximum wealth is less than a particular value, $m^*$, then the individual optimally invests in such a way that maximum wealth never increases above its current value. By contrast, if maximum wealth is greater than $m^*$ but less than the safe level, then the individual optimally allows the maximum to increase to the safe level.
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中文摘要：
我们假设在黑市中投资的是风险较小的资产，而在黑市中投资的是风险较小的资产。在消费率不变的情况下，我们找到了个人的最佳投资策略，该个人希望最大限度地降低其财富低于迄今为止最大财富的某个固定比例的概率，即所谓的{it life draw}。如果最大财富低于某一特定值，$m^*$，那么个人的最佳投资方式是，最大财富不会超过其当前价值。相比之下，如果最大财富大于$m^*$但小于安全水平，则个人最佳允许最大财富增加到安全水平。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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