Optimally Investing to Reach a Bequest Goal
Optimally Investing to Reach a Bequest Goal
复制标题
DOI：
10.2139/ssrn.2573421
复制
发表时间：
2015-03
期刊：
影响因子：
--
通讯作者：
Erhan Bayraktar;V. Young
中科院分区：
文献类型：
--
作者：
Erhan Bayraktar;V. Young
我们确定了在Black-Scholes市场投资的最优策略，以最大化死亡财富达到遗赠目标b美元的概率，这是Dubins和Savage(1965,1976)首创的一种目标寻找问题。个人以固定比率消费$c$，因此满足无风险消费所需的财富水平等于$c/r$，其中$r$是无风险资产的回报率。我们的问题与Browne(1997)的目标达成问题有关，但又不同。首先，布朗(1997，第3.1节)最大化了财富达到10亿美元的可能性
We determine the optimal strategy for investing in a Black-Scholes market in order to maximize the probability that wealth at death meets a bequest goal $b$, a type of goal-seeking problem, as pioneered by Dubins and Savage (1965, 1976). The individual consumes at a constant rate $c$, so the level of wealth required for risklessly meeting consumption equals $c/r$, in which $r$ is the rate of return of the riskless asset. Our problem is related to, but different from, the goal-reaching problems of Browne (1997). First, Browne (1997, Section 3.1) maximizes the probability that wealth reaches $b