Optimal Investment, Consumption, and Life Insurance Choices with Habit Formation and Inflation Risk.
Ailing ShiXingyi LiZhongfei LiPublished in: Complex. (2022)
Keyphrases
- risk management
- risk neutral
- optimal portfolio
- decision making
- investment decisions
- risk aversion
- asset allocation
- worst case
- closed form
- conditional expectation
- portfolio management
- risk averse
- financial markets
- investment strategies
- expected utility
- optimal design
- optimal control
- dynamic programming
- optimal solution