Optimal consumption, investment and life insurance selection under robust utilities

dc.contributor.authorFerreira, Miguel
dc.contributor.authorPinheiro, D.
dc.contributor.authorPinheiro, S.
dc.date.accessioned2025-05-30T09:25:55Z
dc.date.available2025-05-30T09:25:55Z
dc.date.issued2023-09-01
dc.description.abstractWe 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.
dc.identifier.citationFerreira, 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
dc.identifier.issn2424-7944
dc.identifier.issn2424-7863
dc.identifier.urihttps://hdl.handle.net/11328/6341
dc.language.isoeng
dc.publisherWorld Scientific Publishing
dc.relation.hasversionhttps://doi.org/10.1142/S2424786323500160
dc.rightsrestricted access
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectOptimal consumption and investment
dc.subjectlife insurance
dc.subjectuncertain lifetime
dc.subjectstochastic differential games
dc.subject.fosCiências Naturais - Ciências da Computação e da Informação
dc.titleOptimal consumption, investment and life insurance selection under robust utilities
dc.typejournal article
dcterms.referenceshttps://www.worldscientific.com/doi/10.1142/S2424786323500160
dspace.entity.typePublication
oaire.citation.endPage28
oaire.citation.issue3
oaire.citation.startPage1
oaire.citation.titleInternational Journal of Financial Engineering
oaire.citation.volume10
oaire.versionhttp://purl.org/coar/version/c_970fb48d4fbd8a85
person.affiliation.nameREMIT – Research on Economics, Management and Information Technologies
person.familyNameFerreira
person.givenNameMiguel
person.identifier.ciencia-id7312-2245-4991
person.identifier.orcid0000-0003-0570-6259
person.identifier.scopus-author-id55860403900
relation.isAuthorOfPublicationdc7dc958-bfcb-4cae-b0e1-279ba1e6b352
relation.isAuthorOfPublication.latestForDiscoverydc7dc958-bfcb-4cae-b0e1-279ba1e6b352

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