Optimal investment-consumption-insurance with partial information
DOI10.1007/S13160-019-00396-WzbMATH Open1433.91134OpenAlexW2989189835WikidataQ126866432 ScholiaQ126866432MaRDI QIDQ2300968FDOQ2300968
Authors: Hiroaki Hata 
Publication date: 28 February 2020
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-019-00396-w
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backward stochastic differential equationHamilton-Jacobi-Bellman equationpartial informationHARA utilitystochastic factor modeloptimal investment-consumption-insurance
Actuarial mathematics (91G05) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Problems with incomplete information (optimization) (49N30) Optimal stochastic control (93E20)
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Cited In (10)
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- A note on optimal investment-consumption-insurance in a Lévy market
- Expected utility maximization for an insurer with investment and risk control under inside information
- An optimal consumption and investment problem with partial information
- A long-term optimal consumption and investment problem with partial information
- Optimal investment, consumption and life insurance purchase with learning about return predictability
- Optimal investment and consumption strategies for pooled annuity with partial information
- Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
- Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
- Optimal consumption-investment under partial information in conditionally log-Gaussian models
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