Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin

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We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by considering a financial market both with and without a riskless asset for random consumption. The striking result is that we obtain two-fund theorems despite the additional source of randomness from consumption.

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Portfolio Management, Optimization and Control, Probability, Risk Management, 93E20 (Primary) 91B28 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/209917

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0705.0053
 http://arxiv.org/abs/0705.0053

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arXiv