Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
We consider a firm that is faced with an uncontrollable stochastic cash flow, or random risk process. There is one investment opportunity, a risky stock, and we study the optimal investment decision for such firms. There is a fundamental incompleteness in the market, in that the risk to the investor...
| Veröffentlicht in: | Mathematics of Operations Research. - Institute for Operations Research and the Management Sciences. - 20(1995), 4, Seite 937-958 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1995
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| Zugriff auf das übergeordnete Werk: | Mathematics of Operations Research |
| Schlagworte: | Stochastic control Portfolio theory Diffusions Brownian motion Incomplete markets Insurance Ruin theory Optimal gambling Smooth-pasting Hamilton-Jacobi-Bellman equations mehr... |
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