Annuitization and asset allocation under exponential utility
Xiaoqing Liang, Virginia R. Young
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Liang, Xiaoqing ; Young, Virginia R. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 79.2018, p. 167-183
|
| Subject: | Life annuities | Optimal consumption | Optimal investment | Stochastic control | Free-boundary problem | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Finanzmathematik | Mathematical finance | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Private Altersvorsorge | Private retirement provision | Lebensversicherung | Life insurance | Kapitalanlage | Financial investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011825434