Optimal consumption, investment, and life insurance purchase: a state-dependent utilities approach

DOI10.1080/00207160.2020.1797699zbMath1499.91093OpenAlexW3043688069MaRDI QIDQ5063445

Fabio Gómez, Jaime A. Londoño

Publication date: 21 March 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2020.1797699

zbMATH Keywords

optimal choicelife insurancestate-dependent utility

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial markets (91G15)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A variational problem arising in financial economics
• A note on optimal investment-consumption-insurance in a Lévy market
• Optimal investment and life insurance strategies under minimum and maximum constraints
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Functional Itō calculus and stochastic integral representation of martingales
• Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution
• An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
• Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
• A More General Valuation and Arbitrage Theory for Itô Processes
• State-Dependent Utility
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Optimal consumption, investment and life insurance with surrender option guarantee
• Optimal investment-consumption-insurance with random parameters

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