2 papers
q-fin.PM2015
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…
q-fin.PM2014
Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming
Erhan Bayraktar, David Promislow, Virginia Young
We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal…