Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation

DOI10.3934/jimo.2022040OpenAlexW4225729721MaRDI QIDQ2097503

Jingzhen Liu, Jiaqin Wei, Shan Jiang, Shiqi Yan

Publication date: 14 November 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022040

zbMATH Keywords

dynamic programminglifetime uncertaintyhabit formationstochastic differential utilityutility from bequests

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Related Items (1)

Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare

Cites Work

• Unnamed Item
• Stochastic differential utility as the continuous-time limit of recursive utility
• Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
• Consumption-portfolio optimization with recursive utility in incomplete markets
• Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
• Demand for non-life insurance under habit formation
• Stochastic Differential Utility
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Life insurance decisions under recursive utility

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