Article ID: | iaor20103197 |
Volume: | 176 |
Issue: | 1 |
Start Page Number: | 389 |
End Page Number: | 408 |
Publication Date: | Apr 2010 |
Journal: | Annals of Operations Research |
Authors: | Bayraktar Erhan, Young Virginia R |
Keywords: | Black-Scholes |
We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called