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

  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},
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… 


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