Optimal Investment-Consumption-Insurance with Durable and Perishable Consumption Goods in a Jump Diffusion Market

@article{Sun2019OptimalIW,
  title={Optimal Investment-Consumption-Insurance with Durable and Perishable Consumption Goods in a Jump Diffusion Market},
  author={Jin Sun and Ryle S. Perera and Pavel V. Shevchenko},
  journal={Microeconomics: General Equilibrium \& Disequilibrium Models of Financial Markets eJournal},
  year={2019}
}
We investigate an optimal investment-consumption and optimal level of insurance on durable consumption goods with a positive loading in a continuous-time economy. We assume that the economic agent invests in the financial market and in durable as well as perishable consumption goods to derive utilities from consumption over time in a jump-diffusion market. Assuming that the financial assets and durable consumption goods can be traded without transaction costs, we provide a semi-explicit… 

References

SHOWING 1-10 OF 22 REFERENCES
Optimal Consumption and Investment Strategies with a Perishable and an Indivisible Durable Consumption Good
We study the consumption and investment choice of an agent in a continuous-time economy with a riskless asset, several risky financial assets, and two consumption goods, namely a perishable and a
Optimal consumption of a divisible durable good
Optimal Consumption and Portfolio Rules: With Durability and Local Substitution
A model of optimal consumption and portfolio choice that captures the notions of local substitution and irreversible purchases of durable goods is studied. Necessary and sufficient conditions for a
Optimal insurance demand under marked point processes shocks
We study the stochastic control problem of maximizing expected util- ity from terminal wealth, when the wealth process is subject to shocks produced by a general marked point process; the problem of
Insurance and Consumption: The Continuous Time Case
During the last twenty years, a large body of literature devoted to the determination of the optimal insurance coverage has developed. The seminal works by Arrow (1963), Smith (1968) and Mossin
Asset and commodity prices with multi-attribute durable goods
Insurance and Precautionary Capital Accumulation in a Continuous-Time Model
Introduction The theory of optimal response to risk is one of the most lively areas of research in economics. Two types of response to risk have been studied intensively. The first type of response
...
...