Optimal investment, consumption and life insurance under mean-reverting returns: The complete market solution

By Traian A. Pirvu, Huayue Zhang. 2012

55 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/92a88b31a25faabdf46f3bf487c209ebf5a42ae5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Yang Shen

In Finance

1. Yang Shen
2. Jiaqin Wei

Citations in the corpus

• Optimal Portfolio Selection with Life Insurance Under Inflation Risk (2014, background): “Recently, Pirvu and Zhang (2012) studied a problem with mean-reverting stock return and provided closed form solutions.”
• Optimal investment-consumption-insurance with random parameters (2016, background): “Interested readers may refer to Pirvu & Zhang (2012) for more discussions.”