ROBUST PORTFOLIO SELECTION FOR INDIVIDUALS: MINIMIZING THE PROBABILITY OF LIFETIME RUIN

Liu, B; Zhou, M

Zhou, M (corresponding author), Cent Univ Finance & Econ, China Inst Actuarial Sci, Beijing 100081, Peoples R China.

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2021; 17 (2): 937

Abstract

Robust portfolio selection has become a popular problem in recent years. In this paper, we study the optimal investment problem for an individual who ......

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