英文标题：
《Optimal investment-consumption and life insurance with capital
constraints》
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作者：
Rodwell Kufakunesu and Calisto Guambe
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最新提交年份：
2018
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英文摘要：
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal strategy and the optimal martingale measure and we obtain the explicit solutions for the power utility functions.
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中文摘要：
本文的目的是解决投资者受限于资本担保时的最优投资、消费和人寿保险问题。我们考虑了一个由随机波动率跳扩散模型描述的不完全市常利用鞅方法，证明了最优策略和最优鞅测度的存在性，得到了幂函数的显式解。
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分类信息：

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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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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