In this paper, we study an optimal consumption–leisure, investment, insurance and retirement choice problem of an infinitely lived economic agent with constant elasticity of substitution (CES) preferences. We incorporate random insurable losses that are independent of risky asset returns...

The superhedging problem of derivative securities under the constraint of portfolio amounts is revisited. This paper considers more general forms of constraints, characterizes the minimal superhedging cost using a 'dual' maximization problem, and shows that a replicating strategy of the...