Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
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- Hugo E. Ramirez & Rafael Serrano, 2023. "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Papers 2303.04236, arXiv.org.
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More about this item
Keywords
Portfolio allocation; Insurance demand; CRRA utility; Background risk; Jump-diffusions; Dynamic programming; Differential rates; Fund separation Theorem;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2023-04-10 (Utility Models and Prospect Theory)
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