The goal of this paper is to extend the results of Bayraktar and Young (2006) on minimizing an individual's probability of lifetime ruin; i.e. the probability that the individual goes bankrupt before dying. We consider a scenario in which the individual is allowed to invest in both a domestic bank account and a foreign bank account, with the exchange rate between the two currencies being modeled by geometric Brownian motion. Additionally, we impose the restriction that the individual is not allowed to borrow money, and assume that the individual's wealth is consumed at a constant rate. We derive formulas for the minimum probability of ruin as well as the individual's optimal investment strategy. We also give a few numerical examples to illustrate these results.

Creator

• Chase, Tyler A.

贡献者

• Sayit, Hasanjan

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-043009-162154

关键词

• optimal investment
• stochastic calculus
• Stochastic Optimal Control

Advisor

• Sayit, Hasanjan

Defense date

• 2009-04-30

Year

• 2009

Date created

• 2009-04-30

Resource type

• Report

Rights statement

• In Copyright