scientific article; zbMATH DE number 7572534

MaRDI QIDQ5096566

Xu Chen

Publication date: 17 August 2022

Full work available at URL: http://121.43.60.238/sxwlxbA/EN/abstract/abstract16614.shtml

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Lévy processminimax martingale measureoptimal life insurance-consumption-investment

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal life-insurance selection and purchase within a market of several life-insurance providers
• 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
• Optimal investment, consumption, and life insurance in an incomplete market
• A Martingale Approach to Optimal Portfolios with Jump-diffusions
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• A predictable decomposition in an infinite assets model with jumps. Application to hedging and optimal investment
• Optimal investment-consumption and life insurance with capital constraints
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization

This page was built for publication: