Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
DOI10.3934/JIMO.2022040OpenAlexW4225729721MaRDI QIDQ2097503FDOQ2097503
Authors: Jingzhen Liu, Shiqi Yan, Shan Jiang, Jiaqin Wei 
Publication date: 14 November 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2022040
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dynamic programminglifetime uncertaintyhabit formationstochastic differential utilityutility from bequests
Actuarial mathematics (91G05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cites Work
- Stochastic Differential Utility
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Demand for non-life insurance under habit formation
- Life insurance decisions under recursive utility
- Stochastic differential utility as the continuous-time limit of recursive utility
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information
- Optimal consumption, life insurance and investment decision with habit formation
- Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
Cited In (11)
- Optimal consumption and portfolio selection for retirees with the guarantee of minimum welfare
- Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment
- Optimal consumption, life insurance and investment decision with habit formation
- Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
- Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
- Optimal investment, consumption and life insurance under stochastic framework
- Annuity and insurance choice under habit formation
- Life insurance decisions under recursive utility
- Consumption, investment and life insurance strategies with heterogeneous discounting
- Optimal portfolio selection with life insurance under subjective survival belief and habit formation
- Optimal consumption-portfolio and leisure problem with habit formation
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