OPTIMAL CONSUMPTION, PORTFOLIO, AND LIFE INSURANCE WITH BORROWING CONSTRAINT AND RISK AVERSION CHANGE

Main Article Content

Ho-Seok Lee

Abstract





This paper investigates an optimal consumption, portfolio, and life insurance strategies of a family when there is a borrowing constraint and risk aversion change at the time of death of the breadwinner. A CRRA utility is employed and by using the dynamic programming method, we obtain analytic expressions for the optimal strategies.





This article was migrated from the previous system via automation. The abstract may not be written correctly. Please view the PDF file.




Article Details

Section
Articles