Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach

被引:2
作者
Guambe, Calisto [1 ,2 ]
Kufakunesu, Rodwell [1 ]
机构
[1] Univ Pretoria, Dept Math & Appl Math, Pretoria, South Africa
[2] Eduardo Mondlane Univ, Dept Math & Informat, Maputo, Mozambique
关键词
Optimal investment consumption insurance; jump-diffusion; inflation index; quadratic-exponential BSDE; INCOMPLETE MARKETS; UTILITY MAXIMIZATION; OPTIMIZATION; PORTFOLIO; MODEL;
D O I
10.1080/02331934.2017.1405956
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero-coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the theory of quadratic-exponential backward stochastic differential equation (BSDE) with jumps approach, we derive the optimal strategy for the two typical utilities (exponential and power) and the value function is characterized as a solution of BSDE with jumps. Finally, we derive the explicit solutions for the optimal investment in both cases of exponential and power utility functions for a diffusion case.
引用
收藏
页码:457 / 473
页数:17
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