Optimal Investment Strategy to Minimize Occupation Time

Details Optimal Investment Strategy to Minimize Occupation Time Optimal Investment Strategy to Minimize Occupation Time

2008-05-26

arxiv.org/abs/0805.3981v3

Economy

Quantitative Finance

Portfolio Management

Occupation time, optimal investment, stochastic control, free-boundary problem

Scientific paper

We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and invests in a Black-Scholes financial market consisting of one riskless and one risky asset, with the risky asset's price process following a geometric Brownian motion. We also consider an extension of this problem by penalizing the occupation time for the degree to which wealth is negative.

Affiliated with

Also associated with

No associations

Rating

Optimal Investment Strategy to Minimize Occupation Time does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Optimal Investment Strategy to Minimize Occupation Time, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal Investment Strategy to Minimize Occupation Time will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-321552