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• W3124328802 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." @default.
• W3124328802 created "2021-02-01" @default.
• W3124328802 creator A5017900147 @default.
• W3124328802 creator A5044365850 @default.
• W3124328802 date "2017-11-01" @default.
• W3124328802 modified "2023-09-27" @default.
• W3124328802 title "Optimal investment-consumption and life insurance selection problem under inflation. A BSDE approach" @default.
• W3124328802 hasPublicationYear "2017" @default.
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