Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution

DOI10.1016/j.insmatheco.2012.05.002zbMath1284.91529OpenAlexW2007431674MaRDI QIDQ2445343

Traian A. Pirvu, Hua-Yue Zhang

Publication date: 14 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.05.002

zbMATH Keywords

life insuranceportfolio allocationmean reverting drift

Mathematics Subject Classification ID

Related Items (23)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal investment and consumption decision of a family with life insurance
• An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
• Time-Consistent Portfolio Management

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