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Article
Proving regularity of the minimal probability of ruin via a game of stop** and control
We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and the individual can invest in a Black–Sc...
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Article
Open AccessOptimal risk sharing under distorted probabilities
We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing hous...
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Article
Correspondence between lifetime minimum wealth and utility of consumption
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval O i...