摘要翻译：
我们找到了使个人财富保持在零以下的预期时间最小化的最优投资策略，即所谓的{IT占用时间}。个人以恒定的速度消费并投资于一个由一个无风险资产和一个风险资产组成的Black-Scholes金融市场，风险资产的价格过程遵循几何布朗运动。我们还考虑了这个问题的一个推广，通过惩罚财富为负值的程度的占有时间。
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英文标题：
《Optimal Investment Strategy to Minimize Occupation Time》
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作者：
Erhan Bayraktar, Virginia R. Young
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We find the optimal investment strategy to minimize the expected time that an individual's wealth stays below zero, the so-called {\it occupation time}. The individual consumes at a constant rate and invests in a Black-Scholes financial market consisting of one riskless and one risky asset, with the risky asset's price process following a geometric Brownian motion. We also consider an extension of this problem by penalizing the occupation time for the degree to which wealth is negative.
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PDF链接：
https://arxiv.org/pdf/0805.3981