{
  "id": "1503.05769",
  "version": "v1",
  "published": "2015-03-19T14:02:24.000Z",
  "updated": "2015-03-19T14:02:24.000Z",
  "title": "Risk Sensitive Control of the Lifetime Ruin Problem",
  "authors": [
    "Erhan Bayraktar",
    "Asaf Cohen"
  ],
  "comment": "Keywords: Probability of lifetime ruin, optimal investment, risk sensitive control, large deviations, differential games",
  "categories": [
    "math.OC",
    "math.PR",
    "q-fin.MF"
  ],
  "abstract": "We study a risk sensitive control version of the lifetime ruin probability problem. We consider a sequence of investments problems in Black-Scholes market that includes a risky asset and a riskless asset. We present a differential game that governs the limit behavior. We solve it explicitly and use it in order to find an asymptotically optimal policy.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-03-19T14:02:24.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "lifetime ruin problem",
      "lifetime ruin probability problem",
      "risk sensitive control version",
      "risky asset",
      "investments problems"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv150305769B"
    }
  }
}