Annuitization and asset allocation under exponential utility

DOI10.1016/J.INSMATHECO.2018.01.005zbMath1401.91166OpenAlexW2791269948WikidataQ115571845 ScholiaQ115571845MaRDI QIDQ1742720

Virginia R. Young, Xiaoqing Liang

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.01.005

zbMATH Keywords

stochastic controlfree-boundary problemoptimal consumptionoptimal investmentlife annuities

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items (3)

OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE ⋮ Optimal annuitisation in a deterministic financial environment ⋮ Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation

Cites Work

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• ASSET ALLOCATION AND ANNUITY-PURCHASE STRATEGIES TO MINIMIZE THE PROBABILITY OF FINANCIAL RUIN
• Dynamic Portfolio Choice with Stochastic Wage and Life Insurance
• Life Insurance Purchasing to Maximize Utility of Household Consumption

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