Robust retirement and life insurance with inflation risk and model ambiguity
We study a robust consumption-investment problem with retirement and life insurance decisions for an agent who is concerned about inflation risk and model ambiguity. Assuming that an inflation-linked index bond and a stock are available in the market, this paper considers a comprehensive setup of am...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2023
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/172207 |
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| Institution: | Nanyang Technological University |
| Language: | English |