49 citations · 115 across the 28 of their papers we have counts for
4 papers · 1 filter
Optimal Investment and Consumption under a Habit-Formation Constraint
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumptio…
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-cal…
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…
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case
Erhan Bayraktar, Virginia R. Young, David Promislow
We consider the problem of how an individual can use term life insurance to maximize the probability of reaching a given bequest goal, an important problem in financial planning. W…