Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty

DOI10.1080/10920277.2008.10597499zbMath1481.91198OpenAlexW2169848085MaRDI QIDQ5022523

Hailiang Yang, Ken Seng Tan, Zhong-Fei Li

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597499

Mathematics Subject Classification ID

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

Related Items (6)

Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions ⋮ Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause ⋮ Possibilistic individual multi-period consumption-investment models ⋮ Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching ⋮ Constant proportion portfolio insurance under a regime switching exponential Lévy process ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio selection with uncertain exit time: a robust CVaR approach
• Optimal investment decisions when time-horizon is uncertain
• Dynamic asset pricing theory with uncertain time-horizon
• Annuitization and asset allocation
• Horizon length and portfolio risk
• Optimal investment-consumption strategy in a discrete-time model with regime switching
• Optimal insurance in a continuous-time model
• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Utility Maximization with Discretionary Stopping
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
• Optimal Entrepreneurial Decisions in a Completely Stochastic Environment
• Investing for Retirement
• Self-Annuitization and Ruin in Retirement
• Utility Functions

This page was built for publication: Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty