Maximizing the goal-reaching probability before drawdown with borrowing constraint
We study the optimal investment problem in a constrained financial market,where the proportion of borrowed amount to the current wealth level is no more than a given constant. The objective is to maximize the goal-reaching probability before drawdown,namely,the probability that the value of the weal...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2021-06-01
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| Series: | AIMS Mathematics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2021514?viewType=HTML |