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Article: Multiperiod optimal investment consumption strategies with mortality risk and environment uncertainty
Title | Multiperiod optimal investment consumption strategies with mortality risk and environment uncertainty |
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Authors | |
Issue Date | 2008 |
Publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx |
Citation | North American Actuarial Journal, 2008, v. 12 n. 1, p. 47-64 How to Cite? |
Abstract | In this article we investigate three related investment-consumption problems for a risk-averse investor: (1) an investment-only problem that involves utility from only terminal wealth, (2) an investment-consumption problem that involves utility from only consumption, and (3) an extended investment-consumption problem that involves utility from both consumption and terminal wealth. Although these problems have been studied quite extensively in continuous-time frameworks, we focus on discrete time. Our contributions are (1) to model these investmentconsumption problems using a discrete model that incorporates the environment risk and mortality risk, in addition to the market risk that is typically considered, and (2) to derive explicit expressions of the optimal investment-consumption strategies to these modeled problems. Furthermore, economic implications of our results are presented. It is reassuring that many of our findings are consistent with the well-known results from the continuous-time models, even though our models have the additional features of modeling the environment uncertainty and the uncertain exit time. |
Persistent Identifier | http://hdl.handle.net/10722/172472 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 0.692 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Li, Z | en_US |
dc.contributor.author | Tan, KS | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2012-10-30T06:22:42Z | - |
dc.date.available | 2012-10-30T06:22:42Z | - |
dc.date.issued | 2008 | en_US |
dc.identifier.citation | North American Actuarial Journal, 2008, v. 12 n. 1, p. 47-64 | en_US |
dc.identifier.issn | 1092-0277 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172472 | - |
dc.description.abstract | In this article we investigate three related investment-consumption problems for a risk-averse investor: (1) an investment-only problem that involves utility from only terminal wealth, (2) an investment-consumption problem that involves utility from only consumption, and (3) an extended investment-consumption problem that involves utility from both consumption and terminal wealth. Although these problems have been studied quite extensively in continuous-time frameworks, we focus on discrete time. Our contributions are (1) to model these investmentconsumption problems using a discrete model that incorporates the environment risk and mortality risk, in addition to the market risk that is typically considered, and (2) to derive explicit expressions of the optimal investment-consumption strategies to these modeled problems. Furthermore, economic implications of our results are presented. It is reassuring that many of our findings are consistent with the well-known results from the continuous-time models, even though our models have the additional features of modeling the environment uncertainty and the uncertain exit time. | en_US |
dc.language | eng | en_US |
dc.publisher | Society of Actuaries. The Journal's web site is located at http://www.soa.org/news-and-publications/publications/journals/naaj/naaj-detail.aspx | en_US |
dc.relation.ispartof | North American Actuarial Journal | en_US |
dc.title | Multiperiod optimal investment consumption strategies with mortality risk and environment uncertainty | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_OA_fulltext | en_US |
dc.identifier.scopus | eid_2-s2.0-77955161315 | en_US |
dc.identifier.hkuros | 142924 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77955161315&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 12 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 47 | en_US |
dc.identifier.epage | 64 | en_US |
dc.identifier.isi | WOS:000211860300003 | - |
dc.publisher.place | United States | en_US |
dc.identifier.scopusauthorid | Li, Z=17434361900 | en_US |
dc.identifier.scopusauthorid | Tan, KS=35325520900 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.customcontrol.immutable | sml 130730 | - |
dc.identifier.issnl | 1092-0277 | - |