49 citations · 115 across the 28 of their papers we have counts for
Showing 2007 · math.OCShow all
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math.OC2007
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints
Erhan Bayraktar, Virginia R. Young
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, a…
math.OC2007★ 3 cited
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin
Erhan Bayraktar, Virginia R. Young
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let th…
math.OC2007
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
Erhan Bayraktar, Virginia R. Young
We use a continuous version of the standard deviation premium principle for pricing in incomplete equity markets by assuming that the investor issuing an unhedgeable derivative sec…