Optimization of consumption with labor income
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Cited in
(79)- Optimal lifetime consumption and investment under a drawdown constraint
- Standardized versus customized portfolio: a compensating variation approach
- A computational scheme for the optimal strategy in an incomplete market
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- An optimal control solution to the liquidity constraint problem
- Hedging in incomplete markets with HARA utility
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal pension management in a stochastic framework.
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Valuation and martingale properties of shadow prices: an exposition
- Optimal asset allocation with fixed-term securities
- Portfolio selection with consumption ratcheting
- Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
- Utility maximization with a stochastic clock and an unbounded random endowment
- Consumption and portfolio selection with labor income: A discrete-time approach
- Minimizing shortfall risk and applications to finance and insurance problems
- Stochastic optimization under constraints.
- Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.
- Household utility maximization with life insurance: a CES utility case
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- Portfolio selection with drawdown constraint on consumption: a generalization model
- Optimal portfolio choice with path dependent benchmarked labor income: a mean field model
- Optimal finite horizon contract with limited commitment
- On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes
- Optimal long-term contracts with disability insurance under limited commitment
- Optimal investment and consumption with labor income in incomplete markets
- Finite horizon portfolio selection problem with a drawdown constraint on consumption
- Near-optimal asset allocation in financial markets with trading constraints
- Event risk, contingent claims and the temporal resolution of uncertainty
- Expected utility maximization problem under state constraints and model uncertainty
- Optimal portfolio choice and consistent performance
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Finite horizon portfolio selection with a negative wealth constraint
- Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
- A portfolio choice problem under risk capacity constraint
- Portfolio choice with illiquid asset for a loss-averse pension fund investor
- Optimal job switching and retirement decision
- Research advances on optimal consumption and portfolio issue with labor income
- FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
- Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
- Fair demographic risk sharing in defined contribution pension systems
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
- An optimal consumption problem for general factor models
- Optimization of Utility for “Larger Investor” with Anticipation
- Optimal investment, consumption and retirement decision with disutility and borrowing constraints
- Optimal investment with time-varying stochastic endowments
- Optimal portfolio choice with path dependent labor income: the infinite horizon case
- Asset management with endogenous withdrawals under a drawdown constraint
- The impact of a partial borrowing limit on financial decisions
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE
- Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
- PRICING PRECIPITATION BASED DERIVATIVES
- Arbitrage and control problems in finance. A presentation
- Special issue: Arbitrage and control problems in finance
- A closed-form solution for the continuous-time consumption model with endogenous labor income
- scientific article; zbMATH DE number 7752752 (Why is no real title available?)
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
- Optimal consumption and investment with welfare constraints
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- Reflections on BSDEs
- Dynamic asset allocation and consumption ratcheting with costs
- A two-person zero-sum game approach for a retirement decision with borrowing constraints
- Pension funds with longevity risk: an optimal portfolio insurance approach
- Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach
- Optimal recursive utility maximization with debt-to-income limits
- Dynamic derivative-based pension investment with stochastic volatility: a behavioral perspective
- Optimal portfolio and labor-leisure decisions with intolerance for declining standards of living
- Wage rigidity and retirement in optimal portfolio choice
- Optimal consumption and investment in an incomplete market with hedgeable stochastic income
- The structure of optimal consumption streams in general incomplete markets
- Optimal consumption-portfolio choices and retirement planning
- Optimal design of the guarantee for defined contribution funds
- Optimal portfolio management with American capital guarantee
- Optimal investment for a pension fund under inflation risk
- Base consumption levels and fixed costs
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