DOI QR코드

DOI QR Code

OPTIMAL CONSUMPTION, PORTFOLIO, AND LIFE INSURANCE WITH BORROWING CONSTRAINT AND RISK AVERSION CHANGE

Lee, Ho-Seok

  • 투고 : 2016.03.10
  • 심사 : 2016.05.09
  • 발행 : 2016.05.15

초록

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.

키워드

portfolio selection;life insurance;borrowing constraint;risk aversion change;dynamic programming method

참고문헌

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과제정보

연구 과제 주관 기관 : Kwangwoon University