The investment horizon problem: A resolution
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- Aase, Knut K., 2014. "Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model," Discussion Papers 2014/13, Norwegian School of Economics, Department of Business and Management Science.
- Tahir Choulli & Sina Yansori, 2018. "Deflators and log-optimal portfolios under random horizon: Explicit description and optimization," Papers 1803.10128, arXiv.org.
- Steffensen, Mogens, 2011. "Optimal consumption and investment under time-varying relative risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 659-667, May.
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KeywordsThe investment horizon problem; complete markets; life and pension insurance; dynamic programming; Kuhn-Tucker; directional derivatives; time consistency; aggregation;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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