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OPTIMAL CONSUMPTION, PORTFOLIO, AND LIFE INSURANCE WITH BORROWING CONSTRAINT AND RISK AVERSION CHANGE
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 Title & Authors
OPTIMAL CONSUMPTION, PORTFOLIO, AND LIFE INSURANCE WITH BORROWING CONSTRAINT AND RISK AVERSION CHANGE
Lee, Ho-Seok;
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 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;
 Language
English
 Cited by
 References
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