Optimal retirement in a general market environment
DOI10.1007/S00245-020-09671-6zbMATH Open1470.91253OpenAlexW3014393764MaRDI QIDQ2045148FDOQ2045148
Authors: Zhou Yang, Hyeng Keun Koo, Yong Hyun Shin 
Publication date: 11 August 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-020-09671-6
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portfolio selectionconsumptionearly retirementleisurebackward stochastic partial differential variational inequalitynon-Markovian market environmentstochastic free boundary problem
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Optimal stochastic control (93E20)
Cites Work
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Cited In (13)
- Portfolio-consumption choice problem with voluntary retirement and consumption constraints
- Title not available (Why is that?)
- Optimal early retirement near the expiration of a pension plan
- A model of retirement and consumption-portfolio choice
- A two-person zero-sum game approach for a retirement decision with borrowing constraints
- A variational inequality approach to financial valuation of retirement benefits based on salary
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Optimal retirement under partial information
- Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework
- Labor supply flexibility and portfolio selection with early retirement option
- Horizon effect on optimal retirement decision
- On optimal retirement
- Aging in financial market
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