Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin

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dc.creatorBayraktar, Erhan
dc.creatorYoung, Virginia R.
dc.date2007-05-01
dc.date2008-03-19
dc.date.accessioned2026-07-07T12:10:22Z
dc.date.available2026-07-07T12:10:22Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/0705.0053
dc.identifierhttp://arxiv.org/abs/0705.0053
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209917
dc.subjectPortfolio Management
dc.subjectOptimization and Control
dc.subjectProbability
dc.subjectRisk Management
dc.subject93E20 (Primary) 91B28 (Secondary)
dc.titleMutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
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