Optimal investment-consumption and life insurance with capital constraints
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Date
Authors
Guambe, Calisto
Kufakunesu, Rodwell
Journal Title
Journal ISSN
Volume Title
Publisher
Taylor and Francis
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.
Description
Keywords
Incomplete market, Jump-diffusion, Martingale method, Optimal investment-consumption-insurance, Option based portfolio insurance, Commerce, Insurance, Stochastic models, Stochastic systems, Portfolio insurance, Investments
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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.