Search Results - subject:"optimal consumption and investment"

Life insurance completeness : a path to hedging mortality and achieving financial optimization

Londoño, Jaime A. - In: Risks : open access journal 13 (2025) 5, pp. 1-21

This paper explores optimal consumption and investment strategies for agents facing mortality risk within a complete … consumption and investment, in the absence of labor income, do not necessitate annuities or other life insurance policies. Our key … perspective resolves longstanding theoretical and empirical challenges, notably the annuity puzzle, by illustrating that optimal …

Persistent link: https://www.econbiz.de/10015409017

Optimal consumption and investment with independent stochastic labor income

Bensoussan, Alain; Park, Seyoung - In: Mathematics of operations research 50 (2025) 1, pp. 356-389

Persistent link: https://www.econbiz.de/10015211707

Optimal investment and consumption strategies for pooled annuity with partial information

Xie, Lin; Lv, Chen; Qian, Linyi; Li, Danping; Yang, Zhixin - In: Insurance 108 (2023), pp. 129-155

Persistent link: https://www.econbiz.de/10013534515

Optimal consumption, investment and life insurance selection under robust utilities

Ferreira, M.; Pinheiro, D.; Pinheiro, S. - In: International journal of financial engineering 10 (2023) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10014444489

On retirement time decision making

Chen, An; Hentschel, Felix; Steffensen, Mogens - In: Insurance 100 (2021), pp. 107-129

Persistent link: https://www.econbiz.de/10012622384

A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices

Weiss, Farina - In: Mathematical methods of operations research : ZOR 93 (2021) 1, pp. 33-81

Persistent link: https://www.econbiz.de/10012488877

Optimal retirement time under habit persistence : what makes individuals retire early?

Chen, An; Hentschel, Felix; Xu, Xian - In: Scandinavian actuarial journal (2018) 3, pp. 225-249

Persistent link: https://www.econbiz.de/10011881085

Sequential $\delta$-optimal consumption and investment for stochastic volatility markets with unknown parameters

Berdjane, Belkacem; Pergamenshchikov, Sergei - HAL - 2012

We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown...

Persistent link: https://www.econbiz.de/10010821411

Investment, income, and incompleteness

Bick, Björn; Kraft, Holger; Munk, Claus - 2009

The utility-maximizing consumption and investment strategy of an individual investor receiving an unspanned labor income stream seems impossible to find in closed form and very difficult to find using numerical solution techniques. We suggest an easy procedure for finding a specific, simple, and...

Persistent link: https://www.econbiz.de/10010271456

Optimal consumption and investment problem with random horizon in a BMAP model

Chen, Xu; Yang, Xiang-qun - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 197-205

In this paper, we consider the consumption and investment problem with random horizon in a Batch Markov Arrival Process (BMAP) model. The investor invests her wealth in a financial market consisting of a risk-free asset and a risky asset. The price processes of the riskless asset and the risky...

Persistent link: https://www.econbiz.de/10011263841