1989/01/01 by Sanford J. Grossman, Jean-Luc Vila · 1 citation
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Insurance, Mortality, Demography, Risk Management #Insurance and Financial Risk Management
paper · doi:10.1086/296473
This note presents an elementary derivation of the optimal investment strategy of an investor who wants to assure that his investment in risky assets does not lead his wealth to fall below a predetermined floor. Copyright 1989 by the University of Chicago.