Household utility maximization with life insurance: a CES utility case

DOI10.1007/s13160-020-00437-9zbMath1461.91278OpenAlexW3047170605MaRDI QIDQ2024613

Ho-Seok Lee, Byung Hwa Lim

Publication date: 4 May 2021

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-020-00437-9

zbMATH Keywords

life insuranceportfolio selectionCES utilityliquidity constraintlabor-leisure

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42) Portfolio theory (91G10) Actuarial mathematics (91G05)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach
• Lifetime consumption and investment: retirement and constrained borrowing
• Optimization of consumption with labor income
• Labor income, borrowing constraints, and equilibrium asset prices
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• Optimal retirement strategy with a negative wealth constraint
• Optimal consumption and investment with insurer default risk
• Borrowing constraints, effective flexibility in labor supply, and portfolio selection
• Unemployment Risks and Optimal Retirement in an Incomplete Market
• Verification Theorems for Models of Optimal Consumption and Investment with Retirement and Constrained Borrowing
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• An Intertemporal Capital Asset Pricing Model
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• The impact of a partial borrowing limit on financial decisions

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