The investment horizon problem: A resolution
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Cited by:
- Aase, Knut K., 2015.
"Life Insurance And Pension Contracts I: The Time Additive Life Cycle Model,"
ASTIN Bulletin, Cambridge University Press, vol. 45(1), pages 1-47, January.
- Aase, Knut K., 2014. "Life Insurance and Pension Contracts I: The Time Additive Life Cycle Model," Discussion Papers 2014/13, Norwegian School of Economics, Department of Business and Management Science.
- Steffensen, Mogens, 2011. "Optimal consumption and investment under time-varying relative risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 659-667, May.
- Tahir Choulli & Sina Yansori, 2018. "Explicit description of all deflators for market models under random horizon with applications to NFLVR," Papers 1803.10128, arXiv.org, revised Feb 2021.
More about this item
Keywords
The investment horizon problem; complete markets; life and pension insurance; dynamic programming; Kuhn-Tucker; directional derivatives; time consistency; aggregation;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IAS-2009-11-14 (Insurance Economics)
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