Optimal investment, stochastic labor income and retirement
From MaRDI portal
Publication:426617
DOI10.1016/j.amc.2011.11.052zbMath1239.91086OpenAlexW2033175013MaRDI QIDQ426617
Daniele Marazzina, Emilio Basrucci
Publication date: 11 June 2012
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2011.11.052
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (13)
An optimal time-management policy for labor supply and consumption decisions ⋮ Optimal impulse control of a portfolio with a fixed transaction cost ⋮ An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints ⋮ The optimal investment problem with inflation and liquidity risk ⋮ Health insurance, portfolio choice, and retirement incentives ⋮ Optimal investment in defined contribution pension schemes with forward utility preferences ⋮ Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework ⋮ Voluntary retirement and portfolio selection: dynamic programming approaches ⋮ Optimal job switching and retirement decision ⋮ Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model ⋮ An Optimal Threshold Policy in Applications of a Two-State Markov Process ⋮ Optimal investment, consumption and timing of annuity purchase under a preference change ⋮ An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- A closed-form solution for the continuous-time consumption model with endogenous labor income
- A variational problem arising in financial economics
- Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
- Optimal consumption-portfolio choices and retirement planning
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- Lifetime consumption and investment: retirement and constrained borrowing
- Minimizing the probability of lifetime ruin under borrowing constraints
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
- Continuous-time stochastic control and optimization with financial applications
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Labor income, borrowing constraints, and equilibrium asset prices
- Optimal consumption and portfolio choice with borrowing constraints
- Hedging in incomplete markets with HARA utility
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Optimal consumption and portfolio selection problem with downside consumption constraints
- The equity risk premium and the riskfree rate in an economy with borrowing constraints
- OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
- Solving Free-boundary Problems with Applications in Finance
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
- Utility Maximization with Discretionary Stopping
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- A Simple Mesh Generator in MATLAB
- Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
- DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
This page was built for publication: Optimal investment, stochastic labor income and retirement