Optimal consumption , portfolio , and life insurance policies under interest rate and inflation risks

@inproceedings{Han2018OptimalC,
  title={Optimal consumption , portfolio , and life insurance policies under interest rate and inflation risks},
  author={Nan-Wei Han and Mao-Wei Hung},
  year={2018}
}
This paper solves the optimal life insurance, consumption, and portfolio decisions of a wage earner before retirement under interest rate and inflation risks. The wage earner’s preferences are represented by the stochastic differential utility, which separates the coefficient of relative risk aversion from the elasticity of intertemporal substitution (EIS). The wage earner’s life insurance demand is affected by the volatile interest rates and inflation. The optimal life insurance demand… CONTINUE READING