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  1. No Access

    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...

    Erhan Bayraktar, Virginia R. Young in Finance and Stochastics (2011)

  2. Article

    Open Access

    Optimal 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...

    Michael Ludkovski, Virginia R. Young in Mathematics and Financial Economics (2009)

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  3. No Access

    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...

    Erhan Bayraktar, Virginia R. Young in Finance and Stochastics (2007)