[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.14403/jcms.2016.29.2.375

OPTIMAL CONSUMPTION, PORTFOLIO, AND LIFE INSURANCE WITH BORROWING CONSTRAINT AND RISK AVERSION CHANGE

Lee, Ho-Seok (Department of Mathematics Kwangwoon University)

Publication Information

Journal of the Chungcheong Mathematical Society / v.29, no.2, 2016 , pp. 375-383 More about this Journal

Abstract

This paper investigates an optimal consumption, portfolio, and life insurance strategies of a family when there is a borrowing constraint and risk aversion change at the time of death of the breadwinner. A CRRA utility is employed and by using the dynamic programming method, we obtain analytic expressions for the optimal strategies.

Keywords

portfolio selection; life insurance; borrowing constraint; risk aversion change; dynamic programming method;

Citations & Related Records

Reference

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