Life-cycle planning model with inflation and time-varying consumption constraints

• Published in: Quantitative finance Vol. 25; no. 7; pp. 1147 - 1162
• Main Authors: Liu, Dongdong, Wang, Ning, Xu, Lin, Wang, Hao
• Format: Journal Article
• Language: English
• Published: Bristol Routledge 03.07.2025; Taylor & Francis Ltd
• Subjects: Consumption; Investment; Life-insurance; Martingale duality method; Partial differential equations

This paper investigates the optimal consumption, investment and insurance strategies for a wage earner operating within an inflationary environment and subject to time-varying consumption constraints over a finite, continuous time horizon. We assume the financial market comprises a risk-free asset,...