Knight不确定下考虑保险和退休的最优消费-投资和遗产问题研究

Abstract

Abstract: This paper studies an optimal consumption and portfolio problem with an investor's heritage and insurance under Knighting uncertainty and three different borrowing constraints. The optimal consumption-investment and bequest of an investor have been solved explicitly by using of the backward stochastic differential equations (BSDE) theory. Finally, numerical results show that both ambiguity and ambiguity attitude affect the optimal consumption and portfolio choices.

Key words: optimal consumption-portfolio, voluntary retirement, BSDE, Knighting uncertainty, bequest

CLC Number:

LIU Hongjian, FEI Weiyin, ZHU Yongwang$, ZHENG Anman. Optimal consumption-portfolio and bequest with insurance and retirement under Knighting uncertainty[J]. Operations Research Transactions, 2014, 18(3): 88-98.

References

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Optimal consumption-portfolio and bequest with insurance and retirement under Knighting uncertainty

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