Finite-horizon optimal consumption and investment problem with a preference change

DOI10.1016/J.JMAA.2018.12.023MaRDI QIDQ1728053zbMATH OpenOpenAlexWikidataFDO

Authors Kyunghyun Park, Junkee Jeon

Publication date 21 February 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2018.12.023

zbMATH Keywords

dual methodoptimal stopping problemportfolio selectionpreference changevariational inequality

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal consumption and portfolio selection with early retirement option
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal portfolio, consumption and retirement decision under a preference change
• Parabolic variational inequalities in one space dimension and smoothness of the free boundary
• Properties of American volatility options in the mean-reverting 3/2 volatility model
• Utility Maximization with Discretionary Stopping

Cited in

(6)

• Optimal retirement and portfolio selection with consumption ratcheting
• Finite horizon portfolio selection with durable goods
• A preference change and discretionary stopping in a consumption and portfolio selection problem
• Dynamic asset allocation with consumption ratcheting post retirement
• Effects of a government subsidy and labor flexibility on portfolio selection and retirement
• Retirement decision with addictive habit persistence in a jump diffusion market

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