Annuitization and asset allocation under exponential utility-Reference-Cited by-同舟云学术

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Annuitization and asset allocation under exponential utility

Published:2018-03 Issue: Volume:79 Page:167-183
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Liang Xiaoqing,Young Virginia R.

Funder

National Natural Science Foundation of China

Natural Science Foundation of Hebei Province

Nesbitt Professorship

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference16 articles.

1. Life insurance purchasing to maximize utility of household consumption;Bayraktar;N. Am. Actuar. J.,2013

2. Consumption puzzles and precautionary savings;Caballero;J. Monetary Econ.,1990

3. Equilibrium in securities markets with heterogeneous investors and unspanned income risk;Christensen;J. Econom. Theory,2012

4. Optimal consumption and portfolio policies when asset prices follow a diffusion process;Cox;J. Econom. Theory,1989

5. A simplified treatment of the theory of optimal regulation of Brownian motion;Dixit;J. Econom. Dynam. Control,1991

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