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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.
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참고문헌 (14)
참고문헌 신청
P. H. Dybvig / 2010 / Lifetime consumption and investment: Retirement and constrained borrowing / Journal of Economic Theory 145:885~907
H. Huang / 2008 / Portfolio choice and mortality-contingent claims: The general HARA case / Journal of Banking & Finance 32:2444~2452
H. He / 1993 / Labor income, borrowing constraints, and equilibrium asset prices / Economic Theory 3:663~696
Bong-Gyu Jang / 2016 / Retirement with risk aversion change and borrowing constraints / Finance Research Letters 16:112~124
M. Kwak / 2009 / Optimal portfolio, consumption and re-tirement decision under a preference change / Journal of Mathematical Analysis and Applications 355:527~540
H. Huang / 2008 / Portfolio choice and mortality-contingent claims: The general HARA case / Journal of Banking & Finance 32:2444~2452
H. He / 1993 / Labor income, borrowing constraints, and equilibrium asset prices / Economic Theory 3:663~696
Bong-Gyu Jang / 2016 / Retirement with risk aversion change and borrowing constraints / Finance Research Letters 16:112~124
M. Kwak / 2009 / Optimal portfolio, consumption and re-tirement decision under a preference change / Journal of Mathematical Analysis and Applications 355:527~540
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