21 citations · 26 across the 8 of their papers we have counts for
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q-fin.PM2008
Optimal Investment Strategy to Minimize Occupation Time
Erhan Bayraktar, Virginia R. Young
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…
q-fin.PM2007
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
Erhan Bayraktar, Virginia R. Young
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by cons…