论文标题
在缺口厌恶和下降约束下，最佳消费和人寿保险
Optimal consumption and life insurance under shortfall aversion and a drawdown constraint
论文作者
论文摘要
本文研究了生命周期的最佳投资组合征服问题，当消费绩效通过不足厌恶偏好和额外的消耗率限制来衡量时。同时，代理商还动态选择了她的人寿保险，以最大程度地提高预期的遗产。通过使用动态编程参数和双重变换，我们可以在不同区域以分段形式明确求解HJB变化不平等，并得出了财富变量的某些阈值，以用于分段最佳反馈控制。利用我们的分析结果，我们能够通过模型参数来说明对最佳消费和人寿保险的一些定量影响，并讨论其财务影响。
This paper studies a life-cycle optimal portfolio-consumption problem when the consumption performance is measured by a shortfall aversion preference with an additional drawdown constraint on consumption rate. Meanwhile, the agent also dynamically chooses her life insurance premium to maximize the expected bequest at the death time. By using dynamic programming arguments and the dual transform, we solve the HJB variational inequality explicitly in a piecewise form across different regions and derive some thresholds of the wealth variable for the piecewise optimal feedback controls. Taking advantage of our analytical results, we are able to numerically illustrate some quantitative impacts on optimal consumption and life insurance by model parameters and discuss their financial implications.
