Optimal Investment Strategy to Minimize Occupation Time

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dc.creatorBayraktar, Erhan
dc.creatorYoung, Virginia R.
dc.date2008-05-26
dc.date2008-11-26
dc.date.accessioned2026-07-07T12:05:50Z
dc.date.available2026-07-07T12:05:50Z
dc.descriptionWe 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 a constant rate and invests in a Black-Scholes financial market consisting of one riskless and one risky asset, with the risky asset's price process following a geometric Brownian motion. We also consider an extension of this problem by penalizing the occupation time for the degree to which wealth is negative.
dc.descriptionOccupation time, optimal investment, stochastic control, free-boundary problem
dc.identifierhttps://arxiv.org/abs/0805.3981
dc.identifierhttp://arxiv.org/abs/0805.3981
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208486
dc.subjectPortfolio Management
dc.subjectOptimization and Control
dc.subjectProbability
dc.titleOptimal Investment Strategy to Minimize Occupation Time
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