最小化亏损概率的最优投资
Optimal Investment to Minimize the Probability of Drawdown
摘要：
在Black-Scholes金融市场中，我们确定了最优投资策略，以最小化所谓的{ \it提款概率}，即投资组合的价值达到其最大值的某个固定比例的概率。我们假设投资组合的支出是其价值的确定性函数，就像捐赠基金以特定利率支付的情况一样，例如，以恒定利率或与基金价值成比例的利率支付。
英文摘要：
We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called {\it probability of drawdown}, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is subject to a payout that is a deterministic function of its value, as might be the case for an endowment fund paying at a specified rate, for example, at a constant rate or at a rate that is proportional to the fund's value.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
