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Optimally investing to reach a bequest goal
12 references·1 citing·43 second hop
Optimally investing to reach a bequest goal (2016)Optimally investing to reach a bequest go…Correspondence between lifetime minimum wealth and utility of consumption (2007)Correspondence between lifeti…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin (2004)Optimal Investment Strategy t…Reaching goals by a deadline: digital options and continuous-time active portfolio management (1999)Reaching goals by a deadline:…Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark (1999)Beating a moving target: Opti…Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time (1997)Survival and Growth with a Li…Adaptive control of a diffusion to a goal and a parabolic Monge–Ampère-type equation (1997)Adaptive control of a diffusi…Optimal Control of Favorable Games with a Time Limit (1993)Optimal Control of Favorable …Controlling a Process to a Goal in Finite Time (1989)Controlling a Process to a Go…Reaching Zero Rapidly (1987)Reaching Zero RapidlyContinuous-Time Red and Black: How to Control a Diffusion to a Goal (1985)Continuous-Time Red and Black…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Purchasing Term Life Insurance to Reach a Bequest Goal While Consuming (2016)Purchasing Term Life Insuranc…Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Risk Aversion in the Small and in the Large (1964)Controlled Markov Processes and Viscosity Solutions (2005)Optimal and Simple, Nearly Optimal Rules for Minimizing the Probability Of Financial Ruin in Retirement (2006)Optimal investment and life insurance strategies under minimum and maximum constraints (2007)Proving regularity of the minimal probability of ruin via a game of stopping and control (2011)Controlled Diffusion Processes (1980)Stochastic Differential Equations and Diffusion Processes (1983)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal control of risk exposure, reinsurance and investments for insurance portfolios (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Stochastic Differential Equations (2006)Controlled markov processes and viscosity solutions (1994)On Dynamic Measures of Risk (1998)Optimal investment strategies with bounded risks, general utilities, and goal achieving (2001)Brownian Motion and Stochastic Calculus (2007)Optimal investment to minimize the probability of drawdown (2016)Optimum consumption and portfolio rules in a continuous-time model (1971)Continuous-Time Finance. (1991)An evolutionary heuristic for the index tracking problem (2003)A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns (2009)The Pricing of Options and Corporate Liabilities (1973)Continuous Martingales and Brownian Motion (1999)Risk-Constrained Dynamic Active Portfolio Management (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)ASSET ALLOCATION AND ANNUITY‐PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN (2006)Arbitrage Theory in Continuous Time (1998)Loss Models: From Data to Decisions (1999)A Sustainable Spending Rate without Simulation (2005)Comonotonic Approximations for Optimal Portfolio Selection Problems (2005)Efficient hedging: Cost versus shortfall risk (2000)On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals (2004)Utility maximization with a given pricing measure when the utility is not necessarily concave (2013)Optimal risk and dividend distribution control models for an insurance company (2000)Optimal dynamic reinsurance policies for large insurance portfolios (2003)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)Bandit Algorithms (2020)
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2006Optimal stopping and free-boundary problems1,071 cited
  • 1999Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark198 cited
  • 1997Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time156 cited
  • 1999Reaching goals by a deadline: digital options and continuous-time active portfolio management124 cited
  • 2004Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin121 cited
  • 1985Continuous-Time Red and Black: How to Control a Diffusion to a Goal93 cited
  • 1993Optimal Control of Favorable Games with a Time Limit78 cited
  • 2007Correspondence between lifetime minimum wealth and utility of consumption40 cited
  • 1997Adaptive control of a diffusion to a goal and a parabolic Monge–Ampère-type equation35 cited
  • 1989Controlling a Process to a Goal in Finite Time29 cited
  • 1987Reaching Zero Rapidly26 cited

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  • 2016Purchasing Term Life Insurance to Reach a Bequest Goal While Consuming15 cited

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