Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy

Mousa, Abdelrahim; Pinheiro, Diogo; Pinheiro, S.; Pinto, Alberto A.

doi:10.1080/02331934.2022.2107925

Cited by 2 publications

(1 citation statement)

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“…Hoshiea et al [14] took both a social welfare system and multiple life-insurance policies into account to study the optimal strategies. Considering multidimensional life insurance, Mousa et al [15] introduced an economic indicator represented by a stochastic process that affects the financial assets and studied an optimal asset-allocation problem of a wage earner.…”

Section: Introductionmentioning

confidence: 99%

The Optimal Consumption, Investment and Life Insurance for Wage Earners under Inside Information and Inflation

Jiao,

Liu,

2023

Mathematics

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This paper studies the dynamically optimal consumption, investment and life-insurance strategies for a wage earners under inside information and inflation. Assume that the wage earner can invest in a risk-free asset, a risky asset and an inflation-indexed bond and that the wage earner can obtain some additional information on the risky asset from the financial market. By maximizing the expected utility of the wage earner’s consumption, inheritance and terminal wealth, we obtain the dynamically optimal consumption, investment and life-insurance strategies for the wage earner. The method of this paper is mainly based on (dynamical) stochastic control theory and the technique of enlargement of filtrations. Moreover, sensitivity analysis is carried out, which reveals that a wage earner with inside information tends to increase his/her consumption and investment, while reducing his/her purchase of life insurance.

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Section: Introductionmentioning

confidence: 99%

The Optimal Consumption, Investment and Life Insurance for Wage Earners under Inside Information and Inflation

Jiao,

Liu,

2023

Mathematics

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Optimal investment in a general stochastic factor framework under model uncertainty

Baltas

2024

JDG

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Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy

Cited by 2 publications

References 40 publications

The Optimal Consumption, Investment and Life Insurance for Wage Earners under Inside Information and Inflation

The Optimal Consumption, Investment and Life Insurance for Wage Earners under Inside Information and Inflation

Optimal investment in a general stochastic factor framework under model uncertainty

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