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| dc.contributor.author | Guambe, Calisto
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| dc.contributor.author | Kufakunesu, Rodwell
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| dc.date.accessioned | 2019-01-22T08:30:21Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions. | en_ZA |
| dc.description.department | Mathematics and Applied Mathematics | en_ZA |
| dc.description.embargo | 2019-12-31 | |
| dc.description.librarian | hj2019 | en_ZA |
| dc.description.sponsorship | National Research Foundation [No. 111410]. | en_ZA |
| dc.description.uri | http://www.tandfonline.com/loi/lsta20 | en_ZA |
| dc.identifier.citation | Calisto Guambe & Rodwell Kufakunesu (2019): Optimal investment-consumption and life insurance with capital constraints, Communications in Statistics - Theory and Methods 49(3): 648-669, DOI: 10.1080/03610926.2018.1549246. | en_ZA |
| dc.identifier.issn | 0361-0926 (print) | |
| dc.identifier.issn | 1532-415X (online) | |
| dc.identifier.other | 10.1080/03610926.2018.1549246 | |
| dc.identifier.uri | http://hdl.handle.net/2263/68200 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Taylor and Francis | en_ZA |
| dc.rights | © 2018 Taylor & Francis Group, LLC. This is an electronic version of an article published in Communications in Statistics Theory and Methods , vol. 49, no. 3, pp. 648-669, 2020. doi : 10.1080/03610926.2018.1549246. Communications in Statistics Theory and Methods is available online at : http://www.tandfonline.comloi/lsta20. | en_ZA |
| dc.subject | Incomplete market | en_ZA |
| dc.subject | Jump-diffusion | en_ZA |
| dc.subject | Martingale method | en_ZA |
| dc.subject | Optimal investment-consumption-insurance | en_ZA |
| dc.subject | Option based portfolio insurance | en_ZA |
| dc.subject | Commerce | en_ZA |
| dc.subject | Insurance | en_ZA |
| dc.subject | Stochastic models | en_ZA |
| dc.subject | Stochastic systems | en_ZA |
| dc.subject | Portfolio insurance | en_ZA |
| dc.subject | Investments | en_ZA |
| dc.title | Optimal investment-consumption and life insurance with capital constraints | en_ZA |
| dc.type | Postprint Article | en_ZA |
