Deterministic mean-variance-optimal consumption and investment

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Standard

Deterministic mean-variance-optimal consumption and investment. / Christiansen, Marcus ; Steffensen, Mogens.

I: Stochastics: An International Journal of Probability and Stochastic Processes , Bind 85, Nr. 4, 2013, s. 620-636.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Christiansen, M & Steffensen, M 2013, 'Deterministic mean-variance-optimal consumption and investment', Stochastics: An International Journal of Probability and Stochastic Processes , bind 85, nr. 4, s. 620-636. https://doi.org/10.1080/17442508.2013.801972

APA

Christiansen, M., & Steffensen, M. (2013). Deterministic mean-variance-optimal consumption and investment. Stochastics: An International Journal of Probability and Stochastic Processes , 85(4), 620-636. https://doi.org/10.1080/17442508.2013.801972

Vancouver

Christiansen M, Steffensen M. Deterministic mean-variance-optimal consumption and investment. Stochastics: An International Journal of Probability and Stochastic Processes . 2013;85(4):620-636. https://doi.org/10.1080/17442508.2013.801972

Author

Christiansen, Marcus ; Steffensen, Mogens. / Deterministic mean-variance-optimal consumption and investment. I: Stochastics: An International Journal of Probability and Stochastic Processes . 2013 ; Bind 85, Nr. 4. s. 620-636.

Bibtex

@article{7f2d40c0439f4c5b833ec1ad19958b11,
title = "Deterministic mean-variance-optimal consumption and investment",
abstract = "In dynamic optimal consumption–investment problems one typically aims to find an optimal control from the set of adapted processes. This is also the natural starting point in case of a mean-variance objective. In contrast, we solve the optimization problem with the special feature that the consumption rate and the investment proportion are constrained to be deterministic processes. As a result we get rid of a series of unwanted features of the stochastic solution including diffusive consumption, satisfaction points and consistency problems. Deterministic strategies typically appear in unit-linked life insurance contracts, where the life-cycle investment strategy is age dependent but wealth independent. We explain how optimal deterministic strategies can be found numerically and present an example from life insurance where we compare the optimal solution with suboptimal deterministic strategies derived from the stochastic solution.",
author = "Marcus Christiansen and Mogens Steffensen",
year = "2013",
doi = "10.1080/17442508.2013.801972",
language = "English",
volume = "85",
pages = "620--636",
journal = "Stochastics: An International Journal of Probability and Stochastic Processes ",
issn = "1744-2508",
publisher = "Taylor & Francis",
number = "4",

}

RIS

TY - JOUR

T1 - Deterministic mean-variance-optimal consumption and investment

AU - Christiansen, Marcus

AU - Steffensen, Mogens

PY - 2013

Y1 - 2013

N2 - In dynamic optimal consumption–investment problems one typically aims to find an optimal control from the set of adapted processes. This is also the natural starting point in case of a mean-variance objective. In contrast, we solve the optimization problem with the special feature that the consumption rate and the investment proportion are constrained to be deterministic processes. As a result we get rid of a series of unwanted features of the stochastic solution including diffusive consumption, satisfaction points and consistency problems. Deterministic strategies typically appear in unit-linked life insurance contracts, where the life-cycle investment strategy is age dependent but wealth independent. We explain how optimal deterministic strategies can be found numerically and present an example from life insurance where we compare the optimal solution with suboptimal deterministic strategies derived from the stochastic solution.

AB - In dynamic optimal consumption–investment problems one typically aims to find an optimal control from the set of adapted processes. This is also the natural starting point in case of a mean-variance objective. In contrast, we solve the optimization problem with the special feature that the consumption rate and the investment proportion are constrained to be deterministic processes. As a result we get rid of a series of unwanted features of the stochastic solution including diffusive consumption, satisfaction points and consistency problems. Deterministic strategies typically appear in unit-linked life insurance contracts, where the life-cycle investment strategy is age dependent but wealth independent. We explain how optimal deterministic strategies can be found numerically and present an example from life insurance where we compare the optimal solution with suboptimal deterministic strategies derived from the stochastic solution.

U2 - 10.1080/17442508.2013.801972

DO - 10.1080/17442508.2013.801972

M3 - Journal article

VL - 85

SP - 620

EP - 636

JO - Stochastics: An International Journal of Probability and Stochastic Processes

JF - Stochastics: An International Journal of Probability and Stochastic Processes

SN - 1744-2508

IS - 4

ER -

ID: 102775713