Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms
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- I. Duarte & Diogo Pinheiro & Alberto A. Pinto & S. R. Pliska, 2011. "Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms," CEMAPRE Working Papers 1102, Centre for Applied Mathematics and Economics (CEMAPRE), School of Economics and Management (ISEG), Technical University of Lisbon.
References listed on IDEAS
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
Journal of Economic Theory,
Elsevier, vol. 3(4), pages 373-413, December.
- R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Jeanblanc, Monique & Martellini, Lionel, 2008. "Optimal investment decisions when time-horizon is uncertain," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1100-1113, December.
- Pliska, Stanley R. & Ye, Jinchun, 2007. "Optimal life insurance purchase and consumption/investment under uncertain lifetime," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1307-1319, May.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Pirvu, Traian A. & Zhang, Huayue, 2012. "Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 303-309.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-19 (All new papers)
- NEP-CIS-2011-02-19 (Confederation of Independent States)
- NEP-IAS-2011-02-19 (Insurance Economics)
- NEP-UPT-2011-02-19 (Utility Models & Prospect Theory)
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