Optimal investment-consumption and life insurance with capital constraints

dc.contributor.authorGuambe, Calisto
dc.contributor.authorKufakunesu, Rodwell
dc.contributor.emailrodwell.kufakunesu@up.ac.zaen_ZA
dc.date.accessioned2019-01-22T08:30:21Z
dc.date.issued2020
dc.description.abstractThe 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.departmentMathematics and Applied Mathematicsen_ZA
dc.description.embargo2019-12-31
dc.description.librarianhj2019en_ZA
dc.description.sponsorshipNational Research Foundation [No. 111410].en_ZA
dc.description.urihttp://www.tandfonline.com/loi/lsta20en_ZA
dc.identifier.citationCalisto 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.issn0361-0926 (print)
dc.identifier.issn1532-415X (online)
dc.identifier.other10.1080/03610926.2018.1549246
dc.identifier.urihttp://hdl.handle.net/2263/68200
dc.language.isoenen_ZA
dc.publisherTaylor and Francisen_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.subjectIncomplete marketen_ZA
dc.subjectJump-diffusionen_ZA
dc.subjectMartingale methoden_ZA
dc.subjectOptimal investment-consumption-insuranceen_ZA
dc.subjectOption based portfolio insuranceen_ZA
dc.subjectCommerceen_ZA
dc.subjectInsuranceen_ZA
dc.subjectStochastic modelsen_ZA
dc.subjectStochastic systemsen_ZA
dc.subjectPortfolio insuranceen_ZA
dc.subjectInvestmentsen_ZA
dc.titleOptimal investment-consumption and life insurance with capital constraintsen_ZA
dc.typePostprint Articleen_ZA

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