We formalize a consumption-investment-insurance problem with the distinction of a state-dependent relative risk aversion. The state-dependence refers to the state of the finite state Markov chain that also formalizes insurable risks such as health and lifetime uncertainty. We derive and analyze...

We consider the continuous time consumption-investment problem originally formalized and solved by Merton in case of constant relative risk aversion. We present a complete solution for the case where relative risk aversion varies with time, having in mind an investor with age-dependent risk...

We solve the problem of an investor who maximizes utility but is uncertain about preferences. We propose a problem formulation based on expected certainty equivalents. We tackle the time-consistency issues arising from that formulation by applying the equilibrium theory approach. To this end, we...