Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
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Publication:2097503
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Cites work
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Demand for non-life insurance under habit formation
- Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
- Life insurance decisions under recursive utility
- 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
- Stochastic Differential Utility
- Stochastic differential utility as the continuous-time limit of recursive utility
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
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(11)- Stochastic utilities with subsistence and satiation: optimal life insurance purchase, consumption and investment
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