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)

Full work available at URL https://doi.org/10.1007/S40314-024-02844-X

zbMATH Keywords

asymptotic expansion techniquedual methodHeston local-stochastic volatility modelinvestment-consumption-insurance decisionLegendre transformation

Mathematics Subject Classification ID

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

Cites work

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• Optimal investment strategy for a family with a random household expenditure under the CEV model
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• 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

Cited in

(1)

• A novel option pricing framework using Pell-Lucas collocation method under the stochastic local volatility model

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