Optimal investment with insurable background risk and nonlinear portfolio allocation frictions

We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous) insurable background risk. This risk takes the form of a jump-diffusion process with negative jumps in the return rate o...

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Autores:

Tipo de recurso:

Fecha de publicación:

2023

Institución:

Universidad del Rosario

Repositorio:

Repositorio EdocUR - U. Rosario

Idioma:

eng

OAI Identifier:

oai:repository.urosario.edu.co:10336/38218

Acceso en línea:

https://doi.org/10.48713/10336_38218
https://repository.urosario.edu.co/handle/10336/38218

Palabra clave:

Portfolio allocation
Insurance demand
CRRA utility
Background risk
Jump-diffusions
Dynamic programming
Differential rates
Fund separation Theorem

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License

http://creativecommons.org/licenses/by-nc-sa/4.0/