Journal article
Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution
Abstract
This paper considers the problem of optimal investment, consumption and life insurance acquisition for a wage earner who has CRRA (constant relative risk aversion) preferences. The market model is complete, continuous, the uncertainty is driven by Brownian motion and the stock price has mean reverting drift. The problem is solved by dynamic programming approach and the HJB equation is shown to have closed form solution. Numerical experiments …
Authors
Pirvu TA; Zhang H
Journal
Insurance Mathematics and Economics, Vol. 51, No. 2, pp. 303–309
Publisher
Elsevier
Publication Date
September 2012
DOI
10.1016/j.insmatheco.2012.05.002
ISSN
0167-6687