The optimal investment-consumption analysis under insurer default risk and inflation risk for retirees who receive defined benefit pension payments is conducted. To enhance applicability, the minimum welfare guarantee and bequest motives are considered. Using the dynamic programming principle...

This paper explores optimal consumption and portfolio decisions in the presence of risky house prices. We assume that changes in real interest rates and future rents directly impact house prices. A novel aspect of our model is that rent inflation rates and consumption inflation rates are...

The well-documented nonparticipation in the stock market by many households and the highly negative correlation between stock and housing investment are puzzling. We show that stock and housing markets are cointegrated, and thus households significantly increase housing expenditure, reduce stock...

We address the problem of optimal consumption and investment for agents with mortality risk in a complete financial market. We achieve the optimization on a functional on the utility of consumption and bequest discounted by the state price process as proposed by Londono [25]. We introduce live...

The problem of optimal consumption and investment is concerned with the decisions of a single agent endowed with some initial wealth who seeks to maximize total expected discounted utility of consumption. The decisions are the rate of consumption and the allocation of their wealth directed to...

We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and healthcare irreversible investment. Our model is based on a Merton's portfolio and consumption problem, where, in addition, the agent can choose the time at which undertaking a...