Dynamic asset allocation when bequests are luxury goods

DOI10.1016/j.jedc.2013.11.004zbMath1402.91685OpenAlexW2133680883MaRDI QIDQ1994300

Jie Ding, Sachi Purcal, Geoffrey H. Kingston

Publication date: 1 November 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2013.11.004

zbMATH Keywords

dynamic asset allocationbequestsEuropean put optionluxury goodsMerton portfolio problemretirement risk zone

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Optimal consumption, investment and housing with means-tested public pension in retirement ⋮ Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods ⋮ Dynamic Portfolio Choice with Stochastic Wage and Life Insurance ⋮ To borrow or insure? Long term care costs and the impact of housing ⋮ Optimal consumption/investment and retirement with necessities and luxuries

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Theory of constant proportion portfolio insurance
• Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
• Capital Taxes, the Redistribution of Wealth and Individual Savings

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