Optimal Consumption and Portfolio Selection with Early Retirement Option

DOI10.1287/moor.2017.0909zbMath1437.91413OpenAlexW2808707802WikidataQ129686292 ScholiaQ129686292MaRDI QIDQ5219704

Zhou Yang, Hyeng Keun Koo

Publication date: 12 March 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2017.0909

zbMATH Keywords

variational inequalityconsumptionportfolio selectionmandatory retirementearly retirement option

Mathematics Subject Classification ID

Variational inequalities (49J40) Derivative securities (option pricing, hedging, etc.) (91G20) Consumer behavior, demand theory (91B42) Existence theories for optimal control problems involving partial differential equations (49J20) Portfolio theory (91G10)

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