Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model

DOI10.1007/S40314-024-02844-XMaRDI QIDQ6602277zbMATH OpenFDO

Authors Jianyu Huo, Qing Zhou

Publication date 11 September 2024

Published in Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

dual methodLegendre transformationasymptotic expansion techniqueHeston local-stochastic volatility modelinvestment-consumption-insurance decision

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Cites work

• A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
• An Overview of Optimal Life Insurance Purchase, Consumption and Investment Problems
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
• Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
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• Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
• Optimal insurance in a continuous-time model
• Optimal investment and consumption decision of a family with life insurance
• Optimal investment strategy for a family with a random household expenditure under the CEV model
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
• Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
• Optimal portfolio, consumption and retirement decision under a preference change
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

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