학술저널
OPTIMAL CONSUMPTION, PORTFOLIO, AND LIFE INSURANCE WITH BORROWING CONSTRAINT AND RISK AVERSION CHANGE
- 충청수학회
- Journal of the Chungcheong Mathematical Society
- Volume 29, No. 2
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2016.05375 - 383 (9 pages)
- 4
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.
1. Introduction
2. The model
3. The optimization problems and the solutions
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