Optimal consumption, investment and life insurance selection under robust utilities
Date
2023-09-01
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Coadvisor
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Publisher
World Scientific Publishing
Language
English
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Abstract
We study the problem faced by a wage earner with an uncertain lifetime who has access to a Black–Scholes-type financial market consisting of one risk-free security and one risky asset. His preferences relative to consumption, investment and life insurance purchase are described by a robust expected utility. We rewrite this problem in terms of a two-player zero-sum stochastic differential game and we derive the wage earner optimal strategies for a general class of utility functions, studying the case of discounted constant relative risk aversion utility functions with more detail.
Keywords
Optimal consumption and investment, life insurance, uncertain lifetime, stochastic differential games
Document Type
Journal article
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Publisher Version
Citation
Ferreira, M., Pinheiro, D., & Pinheiro, S. (2023). Optimal consumption, investment and life insurance selection under robust utilities. International Journal of Financial Engineering, 10(3), 1-28. https://doi.org/10.1142/S2424786323500160. Repositório Institucional UPT. https://hdl.handle.net/11328/6341
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Restricted Access