Optimal investment, consumption and timing of annuity purchase under a preference change

DOI10.1016/J.JMAA.2013.12.036MaRDI QIDQ2338709zbMATH OpenOpenAlexFDO

Authors Xiaoqing Liang, Xiaofan Peng, Junyi Guo

Publication date 27 March 2015

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.2013.12.036

zbMATH Keywords

annuitydiscretionary stoppingmartingale methodpreference changeutility maximization

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• A preference change and discretionary stopping in a consumption and portfolio selection problem
• Annuitization and asset allocation
• Applied stochastic control of jump diffusions
• Choosing the optimal annuitization time post-retirement
• DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION
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• Labor income, borrowing constraints, and equilibrium asset prices
• Lifetime consumption and investment: retirement and constrained borrowing
• Maximizing the utility of consumption with commutable life annuities
• Optimal Bankruptcy Time and Consumption/Investment Policies on an Infinite Horizon with a Continuous Debt Repayment Until Bankruptcy
• Optimal commutable annuities to minimize the probability of lifetime ruin
• Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
• Optimal investment, consumption and retirement decision with disutility and borrowing constraints
• Optimal investment, stochastic labor income and retirement
• Optimal portfolio, consumption and retirement decision under a preference change
• OPTIMAL PORTFOLIO, CONSUMPTION‐LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY
• OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
• Utility Maximization with Discretionary Stopping

Cited in

(14)

• Optimal portfolio, consumption and retirement decision under a preference change
• On the free boundary of an annuity purchase
• Finite-horizon optimal consumption and investment problem with a preference change
• Annuitization and asset allocation under exponential utility
• Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality
• Optimal investment for a retirement plan with deferred annuities
• Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses
• Optimal investment-consumption problem: post-retirement with minimum guarantee
• A preference change and discretionary stopping in a consumption and portfolio selection problem
• OPTIMAL TIMING OF THE ANNUITY PURCHASE: COMBINED STOCHASTIC CONTROL AND OPTIMAL STOPPING PROBLEM
• Optimal annuitization and asset allocation under linear habit formation
• Retirement decision with addictive habit persistence in a jump diffusion market
• The timing of annuitization: Investment dominance and mortality risk
• Integrating optimal annuity planning with consumption-investment selections in retirement planning

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