Verification theorems for models of optimal consumption and investment with retirement and constrained borrowing
DOI10.1287/MOOR.1110.0507zbMATH Open1238.93125OpenAlexW2067846311MaRDI QIDQ2884293FDOQ2884293
Publication date: 24 May 2012
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/05f60c9e1d27f8bcd77cb47974ea1727739813bf
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Consumer behavior, demand theory (91B42) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cited In (21)
- An optimal portfolio, consumption-leisure and retirement choice problem with CES utility: a dynamic programming approach
- Dual Control Methods for a Mixed Control Problem with Optimal Stopping Arising in Optimal Consumption and Investment
- An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
- Robust Portfolio Choice with Sticky Wages
- Lifetime consumption and investment: retirement and constrained borrowing
- On retirement time decision making
- Optimal Retirement Under Partial Information
- Optimal retirement strategy with a negative wealth constraint
- 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
- Optimal Portfolio Choice with Path Dependent Labor Income: the Infinite Horizon Case
- Annuitization and asset allocation with borrowing constraint
- Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement
- Optimal retirement with borrowing constraints and forced unemployment risk
- Optimal retirement planning under partial information
- Optimal life insurance with no-borrowing constraints: duality approach and example
- Verification theorems for models of optimal consumption and investment with annuitization
- The effects of pre-/post-retirement borrowing constraints on optimal consumption, investment, and retirement
- Optimal Consumption and Portfolio Selection with Early Retirement Option
- The impact of a partial borrowing limit on financial decisions
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