Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity

被引：0
|
作者：
Gu, Ailing [1 ]
He, Xinya [2 ]
Chen, Shumin [2 ]
Yao, Haixiang [3 ]
机构：
[1] Guangdong Univ Technol, Sch Math & Stat, Guangzhou 510520, Peoples R China
[2] Guangdong Univ Technol, Sch Management, Guangzhou 510520, Peoples R China
[3] Guangdong Univ Foreign Studies, Sch Finance, Guangzhou 510006, Peoples R China
来源：
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2023年 / 25卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Mispricing; Model ambiguity; Optimal investment strategy; Life insurance; Dynamic programming approach; ROBUST PORTFOLIO RULES; UNCERTAINTY; CHOICE; RISK; SELECTION; PURCHASE; AVERSION;
D O I：
10.1007/s11009-023-10051-0
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we consider the optimal investment-consumption and life insurance strategy for a wage earner who has uncertain labor income described by an Ornstein-Uhlenbeck process. In addition to consumption and purchasing life insurance, the wage earner invests his wealth in the financial market, which consists of a risk-free asset, a market index, and a pair of risky assets with mispricing. Our aim is to maximize the expected utilities obtained from consumption, bequest, or his wealth at the end of the decision horizon. With the dynamic programming approach, we obtain explicit solutions for the optimization problem by solving the corresponding HJB equation. Finally, several numerical examples are presented to illustrate our results.
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页数：19
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