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OPTIMAL INVESTMENT STRATEGIES FOR MINIMIZING THE PROBABILITY OF RUIN

Nwoke, Chigozie Okechukwu (2019) OPTIMAL INVESTMENT STRATEGIES FOR MINIMIZING THE PROBABILITY OF RUIN. Master's Thesis, University of Pittsburgh. (Unpublished)

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Abstract

Probability of Ruin measures the likelihood for an investor’s wealth (given consumption and randomness of risky asset) to go below a pre-assigned level. We consider an investor with a wealth dependent consumption rate and two investment choices: a risk-free asset and a risky asset. We obtain optimal investment strategies using a probability approach and stochastic control approach for finite and infinite time horizons. We extend this analysis to address the problem of finding the optimal investment strategy that simultaneously maximizes terminal wealth while avoiding ruin.


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Details

Item Type: University of Pittsburgh ETD
Status: Unpublished
Creators/Authors:
CreatorsEmailPitt UsernameORCID
Nwoke, Chigozie Okechukwucon15@pitt.educon150000-0002-5181-1183
ETD Committee:
TitleMemberEmail AddressPitt UsernameORCID
Committee ChairChadam, John M.chadam@pitt.educhadam
Committee MemberManfredi, Juan J.manfredi@pitt.edumanfredi
Committee MemberYao, Songsongyao@pitt.edusongyao
Date: 24 September 2019
Date Type: Publication
Defense Date: 24 May 2019
Approval Date: 24 September 2019
Submission Date: 17 June 2019
Access Restriction: No restriction; Release the ETD for access worldwide immediately.
Number of Pages: 37
Institution: University of Pittsburgh
Schools and Programs: Dietrich School of Arts and Sciences > Mathematics
Degree: MS - Master of Science
Thesis Type: Master's Thesis
Refereed: Yes
Uncontrolled Keywords: probability of ruin, investment strategies, Brownian motion, stochastic control
Date Deposited: 24 Sep 2019 20:00
Last Modified: 24 Sep 2019 20:00
URI: http://d-scholarship.pitt.edu/id/eprint/36948

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