英文标题：
《Optimal investment-consumption and life insurance selection problem
under inflation. A BSDE approach》
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作者：
Calisto Guambe and Rodwell Kufakunesu
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最新提交年份：
2017
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英文摘要：
We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the theory of quadratic-exponential backward stochastic differential equation (BSDE) with jumps approach, we derive the optimal strategy for the two typical utilities (exponential and power) and the value function is characterized as a solution of BSDE with jumps. Finally, we derive the explicit solutions for the optimal investment in both cases of exponential and power utility functions for a diffusion case.
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中文摘要：
讨论了通货膨胀下工薪阶层的最优投资、消费和保险问题。假设一个工薪阶层投资于一个真实货币账户和三种资产价格，即：真实零息票债券、与通胀挂钩的真实货币账户和跳跃扩散过程描述的风险份额。利用带跳跃的二次指数倒向随机微分方程（BSDE）理论，推导了两种典型效用（指数和幂）的最优策略，并将其值函数刻画为带跳跃的BSDE解。最后，我们推导了扩散情形下指数效用函数和幂效用函数的最优投资的显式解。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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