最小化终身破产概率时的共同基金定理
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin
摘要：
我们证明了Merton（1971）的共同基金定理推广到最小化终身破产概率的最优投资问题。我们通过考虑一个金融市场，在有无无风险资产的情况下，得到了两个这样的定理。引人注目的结果是，尽管消费带来了额外的随机性，但我们还是获得了双基金定理。
英文摘要：
We show that the mutual fund theorems of Merton (1971) extend to the problem of optimal investment to minimize the probability of lifetime ruin. We obtain two such theorems by considering a financial market both with and without a riskless asset for random consumption. The striking result is that we obtain two-fund theorems despite the additional source of randomness from consumption.
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