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q-fin.PM2024
Optimal life insurance and annuity decision under money illusion
Wenyuan Li, Pengyu Wei
This paper investigates the optimal consumption, investment, and life insurance/annuity decisions for a family in an inflationary economy under money illusion. The family can inves…
q-fin.PM2024
Constrained portfolio optimization in a life-cycle model: A deep pricing kernel approach
Wenyuan Li, Pengyu Wei
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a b…