OPTIMAL CONSUMPTION, PORTFOLIO, AND LIFE INSURANCE WITH BORROWING CONSTRAINT AND RISK AVERSION CHANGE

• 발행기관: 충청수학회
• 저자명: Ho-Seok Lee
• 간행물 정보: 『Journal of the Chungcheong Mathematical Society』Volume 29, No. 2, 375~383쪽, 전체 9쪽
• 주제분류: 자연과학 > 자연과학일반
• 파일형태: PDF
• 발행일자: 2016.05.30

국문 초록

This paper investigates an optimal consumption, portfolio, and life insurance strategies of a family when there is a borrowing constraint and risk aversion change at the time of death of the breadwinner. A CRRA utility is employed and by using the dynamic programming method, we obtain analytic expressions for the optimal strategies.

목차

1. Introduction

2. The model

3. The optimization problems and the solutions

키워드

portfolio selection life insurance borrowing constraint risk aversion change dynamic programming method.