Optimal investment, consumption, and life insurance in an incomplete market

Xiaoqing Liang and Junyi Guo

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 13, 3884-3903

Abstract: In this article, we solve an optimal insurance-consumption-investment problem for a wage earner in an incomplete market, where the stock price has a mean-reverting drift. By using the martingale method, we analyze this problem and derive the optimal strategies. Explicit solutions are found for both power and logarithmic utilities.

Date: 2016
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DOI: 10.1080/03610926.2014.911907

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