Optimizing the Investment Portfolio Including Life Insurance

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Hakimi, Parsa | 2019

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 52471 (01)
University: Sharif University of Technology
Department: Industrial Engineering
Advisor(s): Moddares Yazdi, Mohammad
Abstract:
Life insurance is a contract whereby the insurer becomes insured under certain conditions and for an amount known as insurance premium. Consequently, the insurer will pay the insured inheritors some given benefit as in the contract. There are different types of life insurance in the market. Other sectors of our proposed portfolio include risky and risk free investments. Household consumption is also considered as another variable in this package. This problem can be raised in both inflationary and non-inflationary states. You can also include a variable called loan. In the literature, this problem has been addressed by considering a sub-category of life insurance (Term Life Insurance) without the limitations and variables of borrowing. In this study, after examining the general state of the problem, we relax some restrictions by modeling a new problem and then present an optimal investment. One of the innovations of this study is the simultaneous consideration of more than one type of life insurance as well as the consumption portfolio
Keywords:
Life Insurance ; Portfolio ; Financial Engineering ; Portfolio Optimization ; Investment

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