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Life Insurance Purchasing to Maximize Utility of Household Consumption
Life insurance utility maximization optimal consumption optimal investment exponential utility
2012/6/5
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance,...
Optimal retirement consumption with a stochastic force of mortality
lifecycle consumption stochastic mortality survival curve matching JEL codes
2012/6/4
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being determin...
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Shadow prices well-posedness the problem of optimal investment consumption transaction costs Portfolio Management
2012/4/28
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Mak...
On Investment-Consumption with Regime-Switching
Portfolio optimization time inconsistency equilibrium policies regime-switching discounting
2011/7/20
In a continuous time stochastic economy, this paper considers the problem of consumption
and investment in a financial market in which the representative investor exhibits a change in the discount ra...