Consumption–investment optimization with Epstein–Zin utility in incomplete markets
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DOI: 10.1007/s00780-016-0297-z
Abstract: In a market with stochastic investment opportunities, we study an optimal consumption–investment problem for an agent with recursive utility of Epstein–Zin type. Focusing on the empirically relevant specification where both risk aversion and elasticity of… read more here.
Keywords: investment optimization; consumption investment; utility; investment ... See more keywords
Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach
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DOI: 10.1080/00207160.2020.1797699
Abstract: We consider the problem of an individual who has to make decisions (under uncertainty) about optimal consumption, investment, and life insurance purchase in a financial market with a finite number ... read more here.
Keywords: life insurance; consumption investment; investment life; insurance purchase ... See more keywords
Robust optimal consumption-investment strategy with non-exponential discounting
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DOI: 10.3934/jimo.2018147
Abstract: This paper extends the existing dynamic consumption-investment problem to the case with more general discount functions under the robust framework. The decision-maker is ambiguity-averse and invests her wealth in a risk-free asset and a risky… read more here.
Keywords: optimal consumption; exponential discounting; non exponential; consumption ... See more keywords