An optimal consumption and investment problem with partial information
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DOI: 10.1017/apr.2018.7
Abstract: Abstract We consider a finite-time optimal consumption problem where an investor wants to maximize the expected hyperbolic absolute risk aversion utility of consumption and terminal wealth. We treat a stochastic factor model in which the… read more here.
Keywords: information; partial information; problem partial; problem ... 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
An optimal consumption and investment problem with quadratic utility and negative wealth constraints
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Inequalities and Applications"
DOI: 10.1186/s13660-017-1469-x
Abstract: In this paper, we investigate the optimal consumption and portfolio selection problem with negative wealth constraints for an economic agent who has a quadratic utility function of consumption and receives a constant labor income. Due… read more here.
Keywords: quadratic utility; negative wealth; consumption; problem ... 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