14 citations · 21 across the 8 of their papers we have counts for
3 papers · 1 filter
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
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 t…
Minimizing the Probability of Lifetime Drawdown under Constant Consumption
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Schole…
Optimal Investment to Minimize the Probability of Drawdown
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of…