英文标题：
《Minimizing the Expected Lifetime Spent in Drawdown under Proportional
Consumption》
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作者：
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
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最新提交年份：
2015
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英文摘要：
We determine the optimal amount to invest in a Black-Scholes financial market for an individual who consumes at a rate equal to a constant proportion of her wealth and who wishes to minimize the expected time that her wealth spends in drawdown during her lifetime. Drawdown occurs when wealth is less than some fixed proportion of maximum wealth. We compare the optimal investment strategy with those for three related goal-seeking problems and learn that the individual is myopic in her investing behavior, as expected from other goal-seeking research.
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中文摘要：
我们为一个人确定在布莱克-斯科尔斯金融市场上投资的最佳金额，该个人的消费率等于其财富的固定比例，并且希望在其一生中将其财富用于提款的预期时间最小化。当财富低于最大财富的某个固定比例时，就会出现下降。我们将最优投资策略与三个相关目标寻求问题的最优投资策略进行了比较，发现个体的投资行为是短视的，正如其他目标寻求研究所预期的那样。
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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：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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