MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS
MINIMIZING THE PROBABILITY OF LIFETIME RUIN: TWO RISKLESS ASSETS WITH TRANSACTION COSTS
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最大限度地降低终生破产的可能性：两种具有交易成本的无风险资产
DOI：
10.1017/asb.2019.23
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发表时间：
2019-07
期刊：
影响因子：
--
通讯作者：
Virginia R. Young
中科院分区：
文献类型：
--
作者：
Liang Xiaoqing;Virginia R. Young
摘要：我们计算了一个希望使其终身破产概率最小化的个人的最优投资策略。她投资的金融市场由两种无风险资产组成。一个无风险资产是货币市场，她从这个账户中消费。另一种无风险资产是债券，它的利率高于货币市场，但买卖债券需要按比例支付交易成本。我们考虑以下三种情况。(1)允许个人从两种无风险资产中借款；如果总估算财富达到零，就会发生破产。在最优策略下，个人不做空债券。然而，她可能希望从货币市场借钱来为她的消费提供资金。因此，在接下来的两种情况下，我们将设法限制从该帐户借款。(2)我们假设个人支付的贷款利率高于她在货币市场上的收入。(3)个人不得从上述两种资产中借款；如果货币市场和债券账户的财富都达到零，就会发生破产。我们证明了情况(2)中的借款利率作为连接两个看似无关的情况(1)和(3)的参数。
Abstract We compute the optimal investment strategy for an individual who wishes to minimize her probability of lifetime ruin. The financial market in which she invests consists of two riskless assets. One riskless asset is a money market, and she consumes from that account. The other riskless asset is a bond that earns a higher interest rate than the money market, but buying and selling bonds are subject to proportional transaction costs. We consider the following three cases. (1) The individual is allowed to borrow from both riskless assets; ruin occurs if total imputed wealth reaches zero. Under the optimal strategy, the individual does not sell short the bond. However, she might wish to borrow from the money market to fund her consumption. Thus, in the next two cases, we seek to limit borrowing from that account. (2) We assume that the individual pays a higher rate to borrow than she earns on the money market. (3) The individual is not allowed to borrow from either asset; ruin occurs if both the money market and bond accounts reach zero wealth. We prove that the borrowing rate in case (2) acts as a parameter connecting the two seemingly unrelated cases (1) and (3).
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DOI：
10.1287/moor.16.4.802
发表时间：
1991-10
期刊：
Math. Oper. Res.
影响因子：
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DOI：
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发表时间：
2015-03
期刊：
Econometrics: Mathematical Methods & Programming eJournal
影响因子：
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作者：
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通讯作者：
Erhan Bayraktar;V. Young