Optimal retirement strategy with a negative wealth constraint

DOI10.1016/J.ORL.2014.02.005zbMATH Open1408.91202OpenAlexW1986172007MaRDI QIDQ1785214FDOQ1785214

Authors: Seyoung Park, Bong-Gyu Jang 

Publication date: 28 September 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2014.02.005

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zbMATH Keywords

optimal stoppingoptimal portfoliooptimal investmentoptimal retirementwealth constraint

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Financial applications of other theories (91G80)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Verification theorems for models of optimal consumption and investment with retirement and constrained borrowing
• Title not available (Why is that?)

Cited In (22)

• Optimal retirement in a general market environment
• Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
• Lifetime consumption and investment: retirement and constrained borrowing
• Human capital and portfolio choice: borrowing constraint and reversible retirement
• A two-person zero-sum game approach for a retirement decision with borrowing constraints
• Household utility maximization with life insurance: a CES utility case
• A dynamic programming approach to a consumption/investment and retirement choice problem under borrowing constraints
• An optimal consumption, leisure, and investment problem with an option to retire and negative wealth constraints
• Finite horizon portfolio selection problems with stochastic borrowing constraints
• An optimal consumption and investment problem with quadratic utility and negative wealth constraints
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• An optimal consumption and investment problem with CES utility and negative wealth constraints
• Unemployment risks and optimal retirement in an incomplete market
• Finite horizon portfolio selection with a negative wealth constraint
• Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
• A portfolio choice problem under risk capacity constraint
• Optimal retirement with borrowing constraints and forced unemployment risk
• IMPLEMENTING INDIVIDUAL SAVINGS DECISIONS FOR RETIREMENT WITH BOUNDS ON WEALTH
• Less is more: increasing retirement gains by using an upside terminal wealth constraint
• The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement
• Portfolio and consumption optimization problem with cobb-Douglas utility and negative wealth constraints
• The impact of a partial borrowing limit on financial decisions

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