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ArticleOn minimizing drawdown risks of lifetime investments

Xinfu Chen2015

Article2015

On minimizing drawdown risks of lifetime investments

Xinfu Chen · David Landriault · Bin Li · Dongchen Li

37 citations·0/0 files stored·Insurance Mathematics and Economics

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

1993OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS 2005DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION 2004Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options 1995On Portfolio Optimization under “Drawdown” Constraints 1975A Stopped Brownian Motion Formula 2004Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin 2008Optimal lifetime consumption and investment under a drawdown constraint 2015Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

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2020Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle

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Details

Year2015

Typearticle

Published2015-09-08

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations37

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.insmatheco.2015.08.007

openalex_workW1854472501

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