Optimal investment and consumption with default risk: HARA utility

DOI10.1007/s10690-013-9167-2zbMath1273.91417OpenAlexW3126089764MaRDI QIDQ370878

Xuewei Yang, Xindan Li, Yong Jin Wang, Li Jun Bo

Publication date: 20 September 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-013-9167-2

zbMATH Keywords

optimal controlHJB equationportfolio optimizationdefaultable marketperpetual bond

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk ⋮ The optimal investment, liability and dividends in insurance ⋮ Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security ⋮ Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks

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