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Dynamic portfolio choice with stochastic wage and life insurance

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      <subfield code="a">Zeng, Xudong</subfield>
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      <subfield code="a">Dynamic portfolio choice with stochastic wage and life insurance</subfield>
      <subfield code="c">Xudong Zeng, Yuling Wang, James M. Carson</subfield>
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      <subfield code="a">We study optimal insurance, consumption, and portfolio choice in a framework where a family purchases life insurance to protect the loss of the wage earner's human capital. Explicit solutions are obtained by employing constant absolute risk aversion utility functions. We show that the optimal life insurance purchase is not a monotonic function of the correlation between the wage and the financial market. Meanwhile, the life insurance decision is explicitly affected by the family's risk preferences in general. The model also predicts that a family uses life insurance and investment portfolio choice to hedge stochastic wage risk.</subfield>
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      <subfield code="a">Seguro de vida</subfield>
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      <subfield code="a">Capitales</subfield>
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      <subfield code="a">Familias</subfield>
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      <subfield code="a">Procesos estocásticos</subfield>
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      <subfield code="a">Matemática del seguro</subfield>
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      <subfield code="a">Wang, Yuling</subfield>
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      <subfield code="a">Carson, James M.</subfield>
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      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">01/12/2015 Tomo 19 Número 4 - 2015 , p. 256-272</subfield>
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