2 papers
q-fin.MF2016
Who would invest only in the risk-free asset?
Nuno Azevedo, Diogo Pinheiro, Stylianos Xanthopoulos +1
Within the setup of continuous-time semimartingale financial markets, we show that a multiprior Gilboa-Schmeidler minimax expected utility maximizer forms a portfolio consisting on…
q-fin.PM2011
Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms
I. Duarte, D. Pinheiro, A. A. Pinto +1
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 earn…