کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076916 | 1374107 | 2012 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper considers the problem of optimal investment, consumption and life insurance acquisition for a wage earner who has CRRA (constant relative risk aversion) preferences. The market model is complete, continuous, the uncertainty is driven by Brownian motion and the stock price has mean reverting drift. The problem is solved by dynamic programming approach and the HJB equation is shown to have closed form solution. Numerical experiments explore the impact market price of risk has on the optimal strategies.
⺠We consider the problem of optimal investment, consumption and life insurance. ⺠We provide closed form solution by using dynamic programming. ⺠We perform numerical experiments.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 51, Issue 2, September 2012, Pages 303-309
Journal: Insurance: Mathematics and Economics - Volume 51, Issue 2, September 2012, Pages 303-309
نویسندگان
Traian A. Pirvu, Huayue Zhang,