Guambe, CalistoKufakunesu, Rodwell2018-09-032018Calisto Guambe & Rodwell Kufakunesu (2018) Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach, Optimization, 67:4, 457-473, DOI: 10.1080/02331934.2017.1405956.0233-1934 (print)1029-4945 (online)10.1080/02331934.2017.1405956http://hdl.handle.net/2263/66429We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero-coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the theory of quadratic-exponential backward stochastic differential equation (BSDE) with jumps approach, we derive the optimal strategy for the two typical utilities (exponential and power) and the value function is characterized as a solution of BSDE with jumps. Finally, we derive the explicit solutions for the optimal investment in both cases of exponential and power utility functions for a diffusion case.en© 2018 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Optimization, vol. 67, no. 4, pp. 457-473, 2018. doi : 10.1080/02331934.2017.1405956. Optimization is available online at : https://www.tandfonline.com/loi/gopt20.Backward stochastic differential equation (BSDE)Optimal investment consumption insuranceJump-diffusionInflation indexQuadratic-exponential BSDEPostprint Article