Multiperiod Optimal Investment-Consumption Strategies With Mortality Risk And Environment Uncertainty

Most traditional investment-consumption models know the investment environment and the time of exiting market to solve the optimal strategies. However, this paper overcomes the shortages of these traditional models. In the discrete time case, according to risk-neutral investors, this paper introduces environmental uncertainty and mortality risk, then applies dynamic programming approach to solve three related investment-consumption problems. To begin with, an investment-only problem that involves utility from only terminal wealth. Secondly, an investment-consumption problem that involves utility from only consumption. Finally, an extended investment-consumption problem that involves utility from both consumption and terminal wealth. In addition, we get explicit expressions of the optimal investment-consumption strategies through simulating and calculating, then present their economic implications.