摘要翻译：
我们引入了默顿著名的最优消费和投资连续时间模型的推广，以借鉴Pliska和Ye以前工作的精神，允许一个工薪阶层有一个随机的生命周期，用一部分收入购买人寿保险以提供他的财产，同时将他的储蓄投资于一个由一个无风险证券和任意数量的风险证券组成的金融市场，该市场由多维布朗运动驱动。然后，我们详细分析了工薪阶层的最优消费、投资和保险购买策略，其目标是从家庭消费中获得的期望效用最大化，从过早死亡时的财产规模和退休时的财产规模中获得的期望效用最大化。我们用动态规划的方法得到了相对风险规避效用函数折现常数情形的显式解，并描述了新的分析结果，同时给出了相应的经济解释。
---
英文标题：
《Optimal Life Insurance Purchase, Consumption and Investment on a
  financial market with multi-dimensional diffusive terms》
---
作者：
I. Duarte, D. Pinheiro, A.A. Pinto, S.R. Pliska
---
最新提交年份：
2011
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--
一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--
一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
英文摘要：
  We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the income to purchase life insurance in order to provide for his estate, while investing his savings in a financial market comprised of one risk-free security and an arbitrary number of risky securities driven by multi-dimensional Brownian motion. We then provide a detailed analysis of the optimal consumption, investment, and insurance purchase strategies for the wage earner whose goal is to maximize the expected utility obtained from his family consumption, from the size of the estate in the event of premature death, and from the size of the estate at the time of retirement. We use dynamic programming methods to obtain explicit solutions for the case of discounted constant relative risk aversion utility functions and describe new analytical results which are presented together with the corresponding economic interpretations.
---
PDF链接：
https://arxiv.org/pdf/1102.2263