首页 | 本学科首页   官方微博 | 高级检索  
     


Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach
Authors:Calisto Guambe
Affiliation:1. Department of Mathematics and Applied Mathematics, University of Pretoria, Pretoria, South Africa.;2. Department of Mathematics and Informatics, Eduardo Mondlane University, Maputo, Mozambique.
Abstract: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.
Keywords:Optimal investment consumption insurance  jump-diffusion  inflation index  quadratic-exponential BSDE
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号