摘要翻译:
我们证明了Merton(1971)的共同基金定理推广到最优投资问题,使终生破产概率最小。通过考虑随机消费的无风险资产和无风险资产的金融市场,我们得到了两个这样的定理。引人注目的结果是,我们得到了两基金定理,尽管消费有额外的随机性来源。
---
英文标题:
《Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin》
---
作者:
Erhan Bayraktar, Virginia R. Young
---
最新提交年份:
2008
---
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
--
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
--
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
--
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
--
---
英文摘要:
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by considering a financial market both with and without a riskless asset for random consumption. The striking result is that we obtain two-fund theorems despite the additional source of randomness from consumption.
---
PDF链接:
https://arxiv.org/pdf/0705.0053