Optimal consumption, investment and life insurance selection under robust utilities
dc.contributor.author | Ferreira, Miguel | |
dc.contributor.author | Pinheiro, D. | |
dc.contributor.author | Pinheiro, S. | |
dc.date.accessioned | 2025-05-30T09:25:55Z | |
dc.date.available | 2025-05-30T09:25:55Z | |
dc.date.issued | 2023-09-01 | |
dc.description.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. | |
dc.identifier.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 | |
dc.identifier.issn | 2424-7944 | |
dc.identifier.issn | 2424-7863 | |
dc.identifier.uri | https://hdl.handle.net/11328/6341 | |
dc.language.iso | eng | |
dc.publisher | World Scientific Publishing | |
dc.relation.hasversion | https://doi.org/10.1142/S2424786323500160 | |
dc.rights | restricted access | |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
dc.subject | Optimal consumption and investment | |
dc.subject | life insurance | |
dc.subject | uncertain lifetime | |
dc.subject | stochastic differential games | |
dc.subject.fos | Ciências Naturais - Ciências da Computação e da Informação | |
dc.title | Optimal consumption, investment and life insurance selection under robust utilities | |
dc.type | journal article | |
dcterms.references | https://www.worldscientific.com/doi/10.1142/S2424786323500160 | |
dspace.entity.type | Publication | |
oaire.citation.endPage | 28 | |
oaire.citation.issue | 3 | |
oaire.citation.startPage | 1 | |
oaire.citation.title | International Journal of Financial Engineering | |
oaire.citation.volume | 10 | |
oaire.version | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |
person.affiliation.name | REMIT – Research on Economics, Management and Information Technologies | |
person.familyName | Ferreira | |
person.givenName | Miguel | |
person.identifier.ciencia-id | 7312-2245-4991 | |
person.identifier.orcid | 0000-0003-0570-6259 | |
person.identifier.scopus-author-id | 55860403900 | |
relation.isAuthorOfPublication | dc7dc958-bfcb-4cae-b0e1-279ba1e6b352 | |
relation.isAuthorOfPublication.latestForDiscovery | dc7dc958-bfcb-4cae-b0e1-279ba1e6b352 |
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