Quantitative Finance > Portfolio Management
[Submitted on 1 May 2007 (v1), last revised 19 Mar 2008 (this version, v3)]
Title:Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
View PDFAbstract: 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.
Submission history
From: Erhan Bayraktar [view email][v1] Tue, 1 May 2007 01:21:40 UTC (9 KB)
[v2] Mon, 22 Oct 2007 04:22:40 UTC (10 KB)
[v3] Wed, 19 Mar 2008 21:14:45 UTC (9 KB)
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