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(Unpublished)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Unpublished |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