Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
type: Item
instance of: scholarly article
title: Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
author: Jingzhen Liu
author: Shiqi Yan
author: Shan Jiang
author: Jiaqin Wei
published in: Journal of Industrial and Management Optimization
publication date: 2022-11-14T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7616052
zbMATH Keywords: stochastic differential utility
zbMATH Keywords: habit formation
zbMATH Keywords: lifetime uncertainty
zbMATH Keywords: utility from bequests
zbMATH Keywords: dynamic programming
MaRDI profile type: Publication
full work available at URL: jimo.2022040
OpenAlex ID: W4225729721
cites work: Stochastic Differential Utility
cites work: Life insurance decisions under recursive utility
cites work: Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
cites work: Stochastic differential utility as the continuous-time limit of recursive utility
cites work: Consumption-portfolio optimization with recursive utility in incomplete markets
cites work: Temporal Resolution of Uncertainty and Dynamic Choice Theory
cites work: Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
cites work: Demand for non-life insurance under habit formation
cites work: Q4983877
DOI: 10.3934/JIMO.2022040
description: scientific article; zbMATH DE number 7616052