Optimal investment, consumption, and life insurance in an incomplete market

DOI10.1080/03610926.2014.911907zbMath1397.91292OpenAlexW2408054448MaRDI QIDQ2816845

Xiaoqing Liang, Jun-Yi Guo

Publication date: 26 August 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.911907

zbMATH Keywords

incomplete marketlife insuranceoptimal investment and consumptionmartingale method

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (4)

Optimal investment-consumption and life insurance with capital constraints ⋮ Optimal consumption, leisure and job choice under inflationary environment ⋮ Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy ⋮ Unnamed Item

Cites Work

• Optimal investment and life insurance strategies under minimum and maximum constraints
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Optimal investment and consumption decision of a family with life insurance
• Household consumption, investment and life insurance
• Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
• Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients

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