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Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
13 references·1 citing·32 second hop
Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms (2012)Optimal life insurance purchase, consumpt…Optimal investment decisions when time-horizon is uncertain (2008)Optimal investment decisions …Optimal Life Insurance Purchase, Consumption and Portfolio Under an Uncertain Life (2007)Optimal Life Insurance Purcha…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Optimal life insurance purchase and consumption/investment under uncertain lifetime (2006)Optimal life insurance purcha…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Brownian Motion and Stochastic Calculus (1998)Brownian Motion and Stochasti…Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model (1975)Optimal consumption, portfoli…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Uncertain Lifetime, Life Insu…Household consumption-investment-insurance decisions with uncertain income and market ambiguity (2021)Household consumption-investm…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Mean field games (2007)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Precautionary Saving and Social Insurance (1995)Entrepreneurship, Frictions, and Wealth (2006)Monetary Policy According to HANK (2018)Capital Market Equilibrium with Personal Tax (1983)Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)A Monte Carlo Method for Optimal Portfolios (2003)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Does Option Compensation Increase Managerial Risk Appetite? (2000)Range‐Based Estimation of Stochastic Volatility Models (2002)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1965Uncertain Lifetime, Life Insurance, and the Theory of the Consumer3,204 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1998Brownian Motion and Stochastic Calculus2,043 cited
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  • 2006Optimal life insurance purchase and consumption/investment under uncertain lifetime203 cited
  • 2008Optimal investment decisions when time-horizon is uncertain130 cited
  • 2007Optimal Life Insurance Purchase, Consumption and Portfolio Under an Uncertain Life43 cited

Cited by

  • 2021Household consumption-investment-insurance decisions with uncertain income and market ambiguity36 cited

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