英文标题：
《On the optimal investment-consumption and life insurance selection
problem with an external stochastic factor》
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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：
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and life insurance problem with stochastic volatility, that is, we consider a wage earner investing in one risk-free asset and one risky asset described by a jump-diffusion process and has to decide concerning consumption and life insurance purchase. We assume that the life insurance for the wage earner is bought from a market composed of $M>1$ life insurance companies offering pairwise distinct life insurance contracts. The goal is to maximize the expected utilities derived from the consumption, the legacy in the case of a premature death and the investor\'s terminal wealth.
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中文摘要：
本文研究了一类具有随机波动率的随机最优控制问题。我们证明了该问题的充要极大值原理。然后，我们应用这些结果来解决一个具有随机波动性的投资、消费和人寿保险问题，即，我们考虑一个工薪阶层投资于一个跳跃扩散过程描述的无风险资产和一个风险资产，并且必须决定消费和人寿保险的购买。我们假设工薪阶层的人寿保险是从一个由提供两两不同人寿保险合同的百万美元以上的人寿保险公司组成的市场购买的。目标是最大限度地利用消费带来的预期效用、过早死亡的遗产和投资者的最终财富。
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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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