Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty

In this paper we investigate three investment-consumption problems for a risk averse investor: (i) an investment only problem that involves utility from only terminal wealth, (ii) an investment-consumption problem that involves utility from only consumption, and (iii) an extended investment-consumption problem that involves utility from both consumption and terminal wealth. We model these problems under a multiperiod setup that incorporates three types of uncertainties: the economic environment uncertainty, the asset return uncertainty, and the mortality uncertainty. By using dynamic programming, analytical expressions of the optimal investmentconsumption strategies to these problems are derived. Some economic implications on these results are also discussed.