Optimal consumption, investment and life insurance selection under robust utilities

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2023-09-01

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World Scientific Publishing
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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.

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Optimal consumption and investment, life insurance, uncertain lifetime, stochastic differential games

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Journal article

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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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