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Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution
12 references·5 citing·36 second hop
Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution (2012)Optimal investment, consumption and life …Time-Consistent Portfolio Management (2012)Time-Consistent Portfolio Man…Optimal investment and consumption decision of a family with life insurance (2010)Optimal investment and consum…Merton, Robert C. (2010)Merton, Robert C.Dynamic asset allocation with stochastic income and interest rates (2010)Dynamic asset allocation with…Portfolio choice and mortality-contingent claims: The general HARA case (2008)Portfolio choice and mortalit…Optimal life insurance purchase and consumption/investment under uncertain lifetime (2006)Optimal life insurance purcha…Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Portfolio and Consumption Dec…Dynamic Nonmyopic Portfolio Behavior (1996)Dynamic Nonmyopic Portfolio B…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…Robust retirement and life insurance with inflation risk and model ambiguity (2023)Robust retirement and life in…Household consumption-investment-insurance decisions with uncertain income and market ambiguity (2021)Household consumption-investm…Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes (2020)Optimal consumption–investmen…Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks (2017)Optimal consumption, portfoli…Optimal investment-consumption-insurance with random parameters (2014)Optimal investment-consumptio…Golden Eggs and Hyperbolic Discounting (1997)Time Discounting and Time Preference: A Critical Review (2002)Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013)Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps (2013)Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bank competition and financial stability in Asia Pacific (2013)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)How does competition affect bank systemic risk? (2013)An Intertemporal Capital Asset Pricing Model (1973)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Portfolio Selection in Stochastic Environments (2006)Aspects of the Theory of Risk-Bearing. (1966)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)Brownian Motion and Stochastic Calculus (2007)Optimal Annuity Risk Management (2010)Optimal Housing, Consumption, and Investment Decisions over the Life Cycle (2011)Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk (2012)A Theory of the Term Structure of Interest Rates (1985)Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Asset allocation under multivariate regime switching (2007)International asset allocation under regime switching, skew, and kurtosis preferences (2008)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)Life insurance purchase behaviour: A systematic review and directions for future research (2021)
this work references cited by second hop

References

  • 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
  • 2010Merton, Robert C.812 cited
  • 1996Dynamic Nonmyopic Portfolio Behavior747 cited
  • 2002Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets513 cited
  • 1975Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model436 cited
  • 2006Optimal life insurance purchase and consumption/investment under uncertain lifetime203 cited
  • 2010Dynamic asset allocation with stochastic income and interest rates190 cited
  • 2012Time-Consistent Portfolio Management138 cited
  • 2008Portfolio choice and mortality-contingent claims: The general HARA case82 cited
  • 2010Optimal investment and consumption decision of a family with life insurance66 cited

Cited by

  • 2014Optimal investment-consumption-insurance with random parameters50 cited
  • 2017Optimal consumption, portfolio, and life insurance policies under interest rate and inflation risks45 cited

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2020
Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes
42 cited
  • 2021Household consumption-investment-insurance decisions with uncertain income and market ambiguity36 cited
  • 2023Robust retirement and life insurance with inflation risk and model ambiguity26 cited