Optimal investment-consumption and life insurance with capital constraints

被引：1
|
作者：
Guambe, Calisto [1 ,2 ]
Kufakunesu, Rodwell [1 ]
机构：
[1] Univ Pretoria, Dept Math & Appl Math, ZA-0002 Pretoria, South Africa
[2] Eduardo Mondlane Univ, Dept Math & Comp Sci, Maputo, Mozambique
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2020年 / 49卷 / 03期
基金：
新加坡国家研究基金会;
关键词：
Incomplete market; jump-diffusion; martingale method; optimal investment-consumption-insurance; option based portfolio insurance;
D O I：
10.1080/03610926.2018.1549246
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：
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions.
引用
收藏
页码：648 / 669
页数：22
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