具有多重习惯形成和非指数折扣的投资-消费-保险优化问题

IF 1.1 2区 经济学 Q3 BUSINESS, FINANCE Finance and Stochastics Pub Date : 2023-09-06 DOI:10.1007/s00780-023-00510-4
Yike Wang, Jingzhen Liu, Tak Kuen Siu
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Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting
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来源期刊
Finance and Stochastics
Finance and Stochastics 管理科学-数学跨学科应用
CiteScore
2.90
自引率
5.90%
发文量
20
审稿时长
>12 weeks
期刊介绍: The purpose of Finance and Stochastics is to provide a high standard publication forum for research - in all areas of finance based on stochastic methods - on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance. Finance and Stochastics encompasses - but is not limited to - the following fields: - theory and analysis of financial markets - continuous time finance - derivatives research - insurance in relation to finance - portfolio selection - credit and market risks - term structure models - statistical and empirical financial studies based on advanced stochastic methods - numerical and stochastic solution techniques for problems in finance - intertemporal economics, uncertainty and information in relation to finance.
期刊最新文献
On the Guyon–Lekeufack volatility model Stationary covariance regime for affine stochastic covariance models in Hilbert spaces Robustness of Hilbert space-valued stochastic volatility models A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets Cost-efficient payoffs under model ambiguity
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