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Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms
stochastic optimal control consumption-investment problems life-insurance
2011/3/23
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random ...
Optimal consumption and investment for markets with randoms coefficients
Black-Scholes market Stochastic volatility Optimal consumption and Investment Hamilton-Jacobi-Bellman equation Banach fixed point theorem Feynman - Kac formula.
2011/3/23
We consider an optimal consumption - investment problem for financial markets of Black-Scholes's type with the random coefficients. The existence and uniqueness theorem for the Hamilton-Jacobi-Bellman...
Optimal consumption and investment in incomplete markets with general constraints
Optimal consumption investment incomplete markets
2010/10/22
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with expo...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
The Opportunity Process for Optimal Consumption and Investment with Power Utility
consumption semimartingale dynamic programming con-vex duality
2010/11/3
We study the utility maximization problem for power utility ran-dom fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is intr...