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OALib Journal期刊
ISSN: 2333-9721
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考虑随机劳动收入的最优消费、投保与资产配置
DOI: 10.13484/j.nmgdxxbzk.20150304, PP. 242-248
Keywords: 投资型人寿保险,资产配置,hjb方程
Abstract:
研究了随机劳动收入下最优消费、投保与资产配置问题.在模型中,投资者购买投资型人寿保险,该保险兼具保障和投资功能.在假定效用函数为cara函数的情况下,运用贝尔曼动态规划原理求得了模型的解析解,并获得了投资型人寿保险投资的一些重要性质.最后,通过数值模拟分析讨论了绝对风险厌恶系数、随机劳动收入与风险资产以及投资型人寿保险间相关系数变化时最优投保的变化趋势.
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