Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks
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Publication:1681187
DOI10.1016/j.insmatheco.2017.01.004zbMath1416.91183OpenAlexW2575975513MaRDI QIDQ1681187
Publication date: 23 November 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.01.004
inflationrisk aversioninterest rate risklife insurancestochastic differential utilityelasticity of intertemporal substitution
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Cites Work
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- Personal finance and life insurance under separation of risk aversion and elasticity of substitution
- Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
- Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds
- Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- An equilibrium characterization of the term structure
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
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