Optimal investment, consumption, and life insurance in an incomplete market

被引：4
作者：
Liang, Xiaoqing [1 ]
Guo, Junyi [2 ]
机构：
[1] Hebei Univ Technol, Sch Sci, Tianjin, Peoples R China
[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2016年 / 45卷 / 13期
基金：
中国国家自然科学基金;
关键词：
Incomplete market; life insurance; martingale method; optimal investment and consumption; MEAN-REVERTING RETURNS; PORTFOLIO CHOICE;
D O I：
10.1080/03610926.2014.911907
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 article, we solve an optimal insurance-consumption-investment problem for a wage earner in an incomplete market, where the stock price has a mean-reverting drift. By using the martingale method, we analyze this problem and derive the optimal strategies. Explicit solutions are found for both power and logarithmic utilities.
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页码：3884 / 3903
页数：20
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