49 citations · 115 across the 28 of their papers we have counts for
4 papers · 1 filter
Minimizing Lifetime Poverty with a Penalty for Bankruptcy
Asaf Cohen, Virginia R. Young
We provide investment advice for an individual who wishes to minimize her lifetime poverty, with a penalty for bankruptcy or ruin. We measure poverty via a non-negative, non-increa…
Annuitization and asset allocation
Moshe A. Milevsky, Virginia R. Young
This paper examines the optimal annuitization, investment and consumption strategies of a utility-maximizing retiree facing a stochastic time of death under a variety of institutio…
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…